文章基本信息

标题：Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phas
本地全文：下载
作者：Paolo, BATTOCCHIO, Francesco, MENONCIN, Olivier, SCAILLET
期刊名称：Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
印刷版ISSN：1379-244X
出版年度：2003
卷号：1
出版社：Université catholique de Louvain
摘要：In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fund maximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for bot accumulation and decumulation phases. We show that the optimal asset allocation during these two phases must be different. In particular, during the first phase, the risky investment should increase through time because of closeness of death time. Our findings also suggest that it is not optimal to manage the two phases separately.
关键词：pension funds; mortality risk; asset allocation