带泊松跳的DB养老金计划中鲁棒均衡策略

Robust equilibrium strategy in DB pension plans with Poisson jump

  • 摘要: 研究了一个带有泊松跳跃的资金过剩的确定收益养老金计划中的鲁棒非合作博弈问题. 公司管理者关心基金盈余的投资业绩, 养老金参与者要求分享基金盈余. 金融市场中风险资产的价格由带泊松跳的扩散过程来刻画, 并且假设金融市场中的概率模型是不确定的. 假设公司管理者和养老金参与者是模糊厌恶的. 基于鲁棒控制策略, 养老金参与者的目标是最大化收益的预期贴现效用, 公司的目标是寻求基金盈余的效用最大化. 利用鲁棒控制理论得到了非合作博弈下的鲁棒均衡投资和收益策略. 最后使用数值结果解释了博弈中鲁棒策略的经济行为.

     

    Abstract: The robust non-cooperative game problem in a defined-benefit pension plan with excess funds with Poisson jumps is studied. Corporate managers are concerned about the investment performance of the fund's surplus, and pension participants demand a share of the fund's surplus. The price of risk assets in financial market is described by the diffusion process with Poisson jump, and the probability model in financial market is assumed to be uncertain. Suppose that corporate managers and pension participants are ambiguous averse. Based on the robust control strategy, the pension participant's goal is to maximize the expected discounted utility of the benefit, and the firm's goal is to seek to maximize the utility of the fund's surplus. By using robust control theory, we get robust equilibrium investment and benefit strategies under non-cooperative game. Finally, numerical results are used to explain the economic behavior of robust strategies in the game.

     

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