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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/64557


    Title: 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
    Authors: Yang, Sharon S.;Huang,Hong-Chih
    楊曉文;黃泓智
    Contributors: 風管系
    Keywords: longevity risk;asset allocation;income replacement ratio
    Date: 2009-10
    Issue Date: 2014-03-11 17:11:28 (UTC+8)
    Abstract: 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.
    Relation: The Geneva Papers on Risk and Insurance - Issues and Practice, 34, 660-681
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1057/gpp.2009.18
    DOI: 10.1057/gpp.2009.18
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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