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dc.contributor.author | Guambe, Calisto![]() |
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dc.contributor.author | Kufakunesu, Rodwell![]() |
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dc.contributor.author | Van Zyl, Gusti![]() |
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dc.contributor.author | Beyers, Conrad F.J.![]() |
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dc.date.accessioned | 2022-06-13T13:13:46Z | |
dc.date.issued | 2022-01 | |
dc.description.abstract | In this paper, we study a time consistent solution for a defined contribution pension plan under a mean-variance criterion with regime switching in a jump-diffusion setup, during the accumulation phase. We consider a market consisting of a risk-free asset and a geometric jump-diffusion risky asset process. Our solution allows the fund manager to incorporate a clause which allows for the distribution of a member’s premiums to his surviving dependents, should the member die before retirement. Applying the extended Hamilton-Jacobi-Bellman (HJB) equation, we derive the explicit time consistent equilibrium strategy and the value function. We then provide some numerical simulations to illustrate our results. | en_US |
dc.description.department | Insurance and Actuarial Science | en_US |
dc.description.department | Mathematics and Applied Mathematics | en_US |
dc.description.embargo | 2022-08-30 | |
dc.description.librarian | hj2022 | en_US |
dc.description.sponsorship | The University of Pretoria ABSA Chair in Actuarial Science | en_US |
dc.description.uri | http://link.springer.com/journal/13160 | en_US |
dc.identifier.citation | Guambe, C., Kufakunesu, R., van Zyl, G. et al. Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model. Japan Journal of Industrial and Applied Mathematics 39, 119–143 (2022). https://doi.org/10.1007/s13160-021-00481-z. | en_US |
dc.identifier.issn | 0916-7005 (print) | |
dc.identifier.issn | 1868-937X (online) | |
dc.identifier.other | 10.1007/s13160-021-00481-z | |
dc.identifier.uri | https://repository.up.ac.za/handle/2263/85814 | |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.rights | © The JJIAM Publishing Committee and Springer Japan KK, part of Springer Nature 2021. The original publication is available at : http://link.springer.com/journal/13160. | en_US |
dc.subject | Hamilton-Jacobi-Bellman (HJB) | en_US |
dc.subject | DC pension plan | en_US |
dc.subject | Mean-variance | en_US |
dc.subject | Stochastic income | en_US |
dc.subject | Regime-switching | en_US |
dc.subject | Extended HJB | en_US |
dc.subject | Mortality risks | en_US |
dc.title | Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model | en_US |
dc.type | Postprint Article | en_US |