Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts

XIAO Jian-wu; YIN Shao-hua; QIN Cheng-lin

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XIAO Jian-wu, YIN Shao-hua, QIN Cheng-lin. Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts[J]. Applied Mathematics and Mechanics, 2006, 27(11): 1312-1318.

Citation:

XIAO Jian-wu, YIN Shao-hua, QIN Cheng-lin. Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts[J]. Applied Mathematics and Mechanics, 2006, 27(11): 1312-1318.

Citation:

XIAO Jian-wu, YIN Shao-hua, QIN Cheng-lin. Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts[J]. Applied Mathematics and Mechanics, 2006, 27(11): 1312-1318.

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Constant Elasticity of Variance (CEV) Model and Analytical Strategies for Annuity Contracts

1.
Business School, Central South University of Forestry and Technology, Changsha 410004, P. R. China;

Received Date: 2005-06-13
Rev Recd Date: 2006-08-03
Publish Date: 2006-11-15

Abstract

Abstract

The constant elasticity of variance (CEV) model was constructed to study a defined contribution pension plan where benefits were paid by annuity.It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant's whole life in the pension plan.Finally,two explicit solutions to exponential utility function in the two different periods (before and after retirement) were revealed.Hence,the optimal investment strategies in the two periods are obtained.
- define contribution pension plan,
- stochastic optimal control,
- CEV model,
- Legendre transform,
- analytical strategy

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References(13)

References

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