IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v54y2025i6p1569-1595.html
   My bibliography  Save this article

Robust time-consistent strategies of DC pension plans with the return of premiums clauses under inflation

Author

Listed:
  • Zhehong Hao
  • Hao Chang
  • Mengke Kou

Abstract

This article investigates the robust time-consistent investment strategy for a DC pension plan with model uncertainty under the mean-variance optimization objective. For the avoidance of reductions in investment returns due to inflation risk and premature death of members, an inflation-indexed bond is introduced into the financial market and a return of premium clause is incorporated into the model. By establishing extended Hamilton-Jacobi-Bellman (HJB) equations, the explicit solutions of both the robust precommitment strategy and the robust time-consistent strategy are presented by virtue of the robust optimal control theory and the stochastic dynamic programming approach. Furthermore, two degradation cases are derived in detail. Finally, a numerical example demonstrates the analysis of the obtained results.

Suggested Citation

  • Zhehong Hao & Hao Chang & Mengke Kou, 2025. "Robust time-consistent strategies of DC pension plans with the return of premiums clauses under inflation," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 54(6), pages 1569-1595, March.
    • Handle: RePEc:taf:lstaxx:v:54:y:2025:i:6:p:1569-1595
    DOI: 10.1080/03610926.2024.2347334
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2024.2347334
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2024.2347334?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:54:y:2025:i:6:p:1569-1595. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.