Research On DC Pension Based On Heston Model

Pension is the main form of pension insurance system all over the world,in order that the insured can have enough security to meet the basic living needs of the elderly aftter retirement.The insured can get a stable and reliable income at the time of retirement through pension,which is closely related to the retirement life of each pension insured,so pension is crucial to personal and social stability.In order to get closer to the living situation and to better match the investment situation of pension in real life,we explored the problem of DC pension fund based on Heston model.Firstly,we consider the possibility of default.Under the mean variance standard,we invest assets in savings,defaulted bonds and risky assets in the financial market,and study the DC-type pension plan with default risk under the Heston model.Using the dynamic programming method,the corresponding HJB equation is solved,and the optimal asset allocation strategy is obtained to achieve the goal expectation.Finally,numerical simulation is used to analyze how each parameter affects the optimal strategy from the economic perspective.Secondly,considering the interest rate difference between deposit and loan,the risk assets obey the Heston model.With the goal of maximizing the expected utility of wealth at the time of retirement,we use Legendre transformation to find the optimal investment strategy of the DC pension plan at the corresponding time.Finally,through numerical simulation,the sensitivity analysis of each parameter to the optimal strategy is explained from the economic level.Finally,summarize the full text,and carry on the prospect of the problem research.