安徽工程大学学报2025，Vol.40Issue(4)：74-81,8.
基于默认政策的DC型养老金计划最优再保问题研究
A Study of the Optimal Reinsurance Problem for DC-based Pension Plans Based on Default Policy
摘要
Abstract
The central issue for defined-contribution(DC)pension plans is how to invest to meet the goals of plan participants.Given the lack of financial literacy among plan participants,it is common to offer default policies to plan participants who do not actively make investment decisions,while the risk of plan participants can be transferred to reinsurers through reinsurance.In this paper,we study the optimal reinsurance of DC-type pension plans in a currency environment,assuming that plan participants adopt a default investment policy.First,a dynamic stochastic differential equation is developed for the funding of a DC-type pension account.Then consider the problem of minimizing the fixed income risk in an inflationary environment.The dynamic programming method is used to derive the display solution for the optimal reinsurance of DC-type pension.Finally,numerical simulations are conducted to analyze the effects of model parameters on the reinsurance ratio.关键词
默认政策/随机死亡率/再保险/通货膨胀Key words
default policy/stochastic mortality/reinsurance/inflation分类
经济学引用本文复制引用
王梦旋,王传玉,谈倩倩..基于默认政策的DC型养老金计划最优再保问题研究[J].安徽工程大学学报,2025,40(4):74-81,8.基金项目
安徽高校人文社会科学重大研究项目(SK2021ZD0043) （SK2021ZD0043）
