Abstract
<p style='text-indent:20px;'>This paper studies the optimal investment choices and benefit adjustment strategy for a target benefit plan (TBP) with stochastic mortality force. The pension fund is invested in a risk-free asset, a stock, and a longevity-linked asset, as a derivative of the mortality force. Using the stochastic optimal control approach, we obtain closed-form solutions for optimal portfolio choices and benefit adjustment strategy in the financial market with or without the longevity-linked asset, which minimize the combination of benefit gap from the target level and pension plan's discontinuity risk. Numerical analysis is provided to show the effects of parameters on the optimal strategies.</p>
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
