报告题目：Inter-temporal DC Pension Management
报告人：李博晗 苏州大学金融工程研究中心
报告时间：2024年10月18日（星期五）下午14:30
报告地点：仙林校区教2-327会议室
主办单位：南京邮电大学理学院
邀请人：周倩倩
报告内容：The ongoing transition from defined benefit (DB) pension plans to defined contribution (DC) plans in many countries has brought into great emphasis the optimal investment problem in DC plans, among the risk management of occupational retirement plans. Existing research largely neglects the impacts of inter-temporal reward for DC pension fund managers who earn management fees proportional to assets under management both during the interim period and at the plan maturity. This article aims to resolve this long-standing investment problem, namely, the DC pension management with constant contributions from fund holders from the perspective of a manager seeking to maximize the expectation of generic running and terminal utilities of the management fees collected. With the aim of the Dynamic Programming Principle, the problem is associated with a singular, fully non-linear HJB equation. One of our contributions is to develop a rigorous mathematical analysis that establishes the existence of its classical solution by transforming the problem into a non-canonical variational inequality problem which is then solved in a tailored Sobolev space. In addition, another contribution is to introduce an efficient numerical scheme to compute the optimal trading strategy and the value function. Our simulation studies reveal that the policy of charging a substantial terminal-only management fee alone can now be replaced by another scheme of charging a small amount of management fee over the interim period together with a fee at plan maturity. It not only maintains the manager's satisfaction but also notably reduces the total management fees borne by the clients.
报告人简介：李博晗，苏州大学优秀青年学者，南开大学博士，师从郭军义教授，香港中文大学博士后，研究兴趣包括随机控制、保险精算、金融工程与平均场博弈等。论文发表在International journal of control、RAIRO Operations research等国际期刊。