The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Rodwell Kufakunesu (University of Pretoria)
Title: Time-consistent mean-variance asset allocation for a Direct Contribution plan in insurance
Abstract: In this talk, we discuss a time-consistent solution for a defined contribution pension plan under a mean-variance criterion with regime switching in a jump-diffusion setup, during the accumulation phase. We consider a market consisting of a risk-free asset and a geometric jump-diffusion risky asset process. Our solution allows the fund manager to incorporate a clause that allows for the distribution of a member’s premiums to his surviving dependents, should the member die before retirement. Applying the extended Hamilton-Jacobi-Bellman (HJB) equation, we derive the explicit time-consistent equilibrium strategy and the value function. We then provide some numerical simulations to illustrate our results.
Keywords: DC pension plan · Mean-variance · Stochastic income · Regime switching· Extended HJB · Mortality risks
Joint work with (Guambe, vanZyl, and Beyers).
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.