This paper studies the optimization problem of DC pension plan under mean–variance criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang (2014), we assume that the instantaneous interest rate is an affine process including the Cox–Ingersoll–Ross (CIR)...

In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and inflation risk are considered. We suppose that the...

In this paper, we study the optimal dynamic asset allocation strategy for the ELA scheme of DC pension plan during the distribution phase. In an ELA scheme of DC pension plan, the assets are invested in equities and bonds, and are distributed to the plan participants by an actuarial method. The...

In this paper, the stochastic dynamic programming approach is used to investigate the optimal asset allocation for a defined-contribution pension plan with downside protection under stochastic inflation. The plan participant invests the fund wealth and the stochastic interim contribution flows...