IJPAM: Volume 120, No. 1 (2018)

Title

DEFINED CONTRIBUTION PENSION PROGRAM WITH
DETERMINISTIC REVENUE AND MORTALITY RISK
BY APPLYING A MULTI-PERIOD MEAN-VARIANCE

Authors

Intan Fadhilah$^1$, Isnani Darti$^2$, Abdul Rouf Alghofari$^3$
$^{1,2,3}$Departement of Mathematics
Brawijaya University
Jl. Veteran Malang 65145, INDONESIA

Abstract

This article examines an asset distribution with deterministic revenue and mortality risk on defined contribution (DC) pension program by applying multi-period mean-variance model. Unlike other research in this article's literature where the revenue is stochastic, this article appraise deterministic revenue that increases every period constantly. The analytical statements of the effective-investment and effective-boundary strategy are discovered by applying Lagrange multiplier method, state-variable transformation and stochastic optimal control theory. Two numerical simulations are explained at the end of this article. The first simulation is provided by the dissimilar value of contribution's percentage and the second one is explained by the dissimilar value of mortality intension.

History

Received: November 9, 2017
Revised: August 10, 2018
Published: August 20, 2018

AMS Classification, Key Words

AMS Subject Classification: 60A99, 60G35
Key Words and Phrases: defined contribution (DC) Pension program, multi-period mean-variance model, deterministic revenue, mortality risk, lagrange multiplier method, state-variable transformation method, stochastic optimal control theory

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How to Cite?

DOI: 10.12732/ijpam.v120i1.9 How to cite this paper?

Source:
International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2018
Volume: 120
Issue: 1
Pages: 97 - 110


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