| CIR短期利率下养老金的优化控制模型 |
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| 引用本文： | 王斌,杨嶙,张曙光.CIR短期利率下养老金的优化控制模型[J].中国科学技术大学学报,2003,33(2):152-157. |
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| 作者姓名： | 王斌 杨嶙 张曙光 |
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| 作者单位： | 中国科学技术大学统计与金融系,合肥,230026 |
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| 摘 要： | 讨论带有收益保障的养老金计划在随机利率模型下的优化管理问题。通过分解养老金，将有下限约束的退休收益优化问题转化为无约束的自融资基金优化问题，并在Cox-Ingersoll-Ross(CIR)利率模型下得到微分方程。
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| 关 键 词： | 社会保障体系 养老金 随机利率模型 优化控制模型 CIR短期利率 自融资基金优化问题 |
| 文章编号： | 0253-2778(2003)02-0152-06 |
Optimal Management Under CIR Model |
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| WANG Bin,YANG Lin,ZHANG Shu-guang.Optimal Management Under CIR Model[J].Journal of University of Science and Technology of China,2003,33(2):152-157. |
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| Authors: | WANG Bin YANG Lin ZHANG Shu-guang |
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| Abstract: | This paper deals with the optimal management of the pension fund with guarantee under CIR model. By splitting the pension fund into three parts, is obtained the orginal question is changed into one without constraints and the related partial differential equation with certain boundary conditions. |
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| Keywords: | contribution DCP downside protection rolling bond the self-finance process hedging fund |
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