Optimal Control Model of Pension Funds Under Continuous Time

2017 13th International Conference on Computational Intelligence and Security (CIS) Pub Date : 2017-12-01 DOI:10.1109/CIS.2017.00082

Haiyan Zhang, Ya-juan Yang

引用次数: 1

Abstract

In this paper, we consider an retirement, investment and consumption problem based on the basic pension policy of China in continuous time, where the utility function of insured per-son is formulated as an additive of consumption and terminal wealth. In our model, the problem is represented as an optimal stochastic control problem of forward-backward stochastic differential equation(FBSDE). We establish the associated Hamilton-Jacobi-Bellman (HJB) equation via dynamic programming principle. The HJB equation isafullynonlinearpartialdifferentialequation, and we obtain it's numerical solution of the value function as well as the optimal strategies by means of finite difference method. Finally, we analyze the effects of market parameters on the optimal investment, consumption and reinsurance strategies and give some economic explanations.

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连续时间下养老基金最优控制模型

本文考虑了一个基于中国连续时间基本养老金政策的退休、投资和消费问题，其中被保险人的效用函数是消费和终端财富的加法。在我们的模型中，该问题被表示为一个最优随机控制问题的正-倒向随机微分方程(FBSDE)。利用动态规划原理建立了相关的Hamilton-Jacobi-Bellman (HJB)方程。HJB方程是一个非线性偏微分方程，利用有限差分法得到了其值函数的数值解和最优策略。最后，分析了市场参数对最优投资、最优消费和最优再保险策略的影响，并给出了经济学解释。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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2017 13th International Conference on Computational Intelligence and Security (CIS)

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