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Author Chen, Hongjing ♦ Yin, Zheng ♦ Xie, Tianhao
Editor Xu, Honglei
Source Hindawi
Content type Text
Publisher Hindawi
File Format PDF
Copyright Year ©2018
Language English
Abstract In defined contribution pension plan, the determination of the equivalent administrative charges on balance and on flow is investigated if the risk asset follows a constant elasticity of variance (CEV) model. The maximum principle and the stochastic control theory are applied to derive the explicit solutions of the equivalent equation about the charges. Using the power utility function, our conclusion shows that the equivalent charge on balance is related to the charge on flow, risk-free interest rate, and the length of accumulation phase. Moreover, numerical analysis is presented to show our results.
ISSN 1024123X
Learning Resource Type Article
Publisher Date 2018-09-05
Rights License This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
e-ISSN 15635147
Journal Mathematical Problems in Engineering
Volume Number 2018
Page Count 10


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