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Retirement planning in individual asset-liability management

作     者:Consigli, Giorgio Iaquinta, Gaetano Moriggia, Vittorio di Tria, Massimo Musitelli, Davide 

作者机构:Univ Bergamo Dept Math Stat & Comp Sci Bergamo Italy Allianz Investment Management Milan Italy 

出 版 物:《IMA JOURNAL OF MANAGEMENT MATHEMATICS》 (IMA J.Manage. Math.)

年 卷 期:2012年第23卷第4期

页      面:365-396页

核心收录:

学科分类:1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基  金:PRIN [20073BZ5A5 sci.resp] MIUR 

主  题:multistage stochastic programming asset-liability management individual retirement planning variable life annuities private pension plans 

摘      要:Increasing financial pressure on State-controlled pension systems has caused, over the last two decades or so, an unprecedented effort by private pension funds (PFs) and insurance companies to issue new types of retirement vehicles. This article investigates the effects of such widespread phenomenon from the perspective of individual asset-liability management. A multistage stochastic programming problem has been formulated with investment opportunities including PFs, unit-linked contracts and variable life annuities. The introduction of a specific risk measure with respect to a desirable retirement income stream and a planning horizon spanning the entire individuals working life helps to analyse the implications of observed market dynamics on retirement strategies. We present comparative results focusing on the retirement planning problem for three representative individuals carrying different time horizons but common retirement goals. The results show the benefits over traditional pension accumulation plans of dynamic strategies based on mixed portfolios of retirement products.

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