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題名 The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans/ The Geneva Papers on Risk and Insurance - Issues and Practice
作者 Yang, Sharon S. ;Huang,Hong-Chih
楊曉文;黃泓智
貢獻者 風管系
關鍵詞 longevity risk; asset allocation; income replacement ratio
日期 2009-10
上傳時間 11-Mar-2014 17:11:28 (UTC+8)
摘要 This research studies the interaction between longevity risk and asset allocation for a defined contribution pension plan. We investigate the investment strategy during the accumulation phase to deal with longevity risk during the decumulation phase. The longevity risk is demonstrated using the U.K. mortality experience for pensioners. We experiment with three patterns of mortality: base, projection and stochastic mortality rates. The optimal asset allocation and contribution rate are determined by minimizing the variance of the error between the value of pension fund and required pension fund plus the square of the expected value of the error. The required pension fund is decided by the pension fund target, measured using the income replacement ratio.We consider four assets in the asset allocation and observe four types of changes to the rebalancing investment strategies. The results show a life cycle investment strategy and indicate that longevity risk can be hedged by either raising the contribution rate o setting a more aggressive asset allocation.
關聯 The Geneva Papers on Risk and Insurance - Issues and Practice, 34, 660-681
資料類型 article
DOI http://dx.doi.org/10.1057/gpp.2009.18
dc.contributor 風管系en_US
dc.creator (作者) Yang, Sharon S. ;Huang,Hong-Chihen_US
dc.creator (作者) 楊曉文;黃泓智zh_TW
dc.date (日期) 2009-10en_US
dc.date.accessioned 11-Mar-2014 17:11:28 (UTC+8)-
dc.date.available 11-Mar-2014 17:11:28 (UTC+8)-
dc.date.issued (上傳時間) 11-Mar-2014 17:11:28 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64557-
dc.description.abstract (摘要) This research studies the interaction between longevity risk and asset allocation for a defined contribution pension plan. We investigate the investment strategy during the accumulation phase to deal with longevity risk during the decumulation phase. The longevity risk is demonstrated using the U.K. mortality experience for pensioners. We experiment with three patterns of mortality: base, projection and stochastic mortality rates. The optimal asset allocation and contribution rate are determined by minimizing the variance of the error between the value of pension fund and required pension fund plus the square of the expected value of the error. The required pension fund is decided by the pension fund target, measured using the income replacement ratio.We consider four assets in the asset allocation and observe four types of changes to the rebalancing investment strategies. The results show a life cycle investment strategy and indicate that longevity risk can be hedged by either raising the contribution rate o setting a more aggressive asset allocation.en_US
dc.format.extent 353301 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) The Geneva Papers on Risk and Insurance - Issues and Practice, 34, 660-681en_US
dc.subject (關鍵詞) longevity risk; asset allocation; income replacement ratioen_US
dc.title (題名) The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans/ The Geneva Papers on Risk and Insurance - Issues and Practiceen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1057/gpp.2009.18en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1057/gpp.2009.18 en_US