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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. (English) Zbl 1132.91456

Summary: In a financial market with one riskless asset and \(n\) risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases.

MSC:

91G10 Portfolio theory
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B70 Stochastic models in economics
93E20 Optimal stochastic control
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References:

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