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Zbl 1141.91473
Xiao, Jianwu; Hong, Zhai; Qin, Chenglin
The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts. (English)
[J] Insur. Math. Econ. 40, No. 2, 302-310 (2007). ISSN 0167-6687

Summary: The paper focuses on the constant elasticity of variance (CEV) model for studying a defined-contribution pension plan where benefits are paid by annuity. It also presents the process by which the Legendre transform and dual theory can be applied to find an optimal investment policy for a participant's whole life in the pension plan. Finally, it reveals two explicit solutions for the logarithm utility function in two different periods (before and after retirement). Hence, the optimal investment strategies in the two periods are obtained.

MSC 2000:: *91B28 Finance etc.
93E20 Optimal stochastic control (systems)

Keywords: defined-contribution pension plan; stochastic optimal control; CEV model; Legendre transform; optimal investment strategy

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Zentralblatt MATH Berlin [Germany]