An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information

This paper considers the problem of portfolio selection and adjustment for target benefit plans (TBP) with longevity trends partial information. The are modeled by a time-varying force function. financial market consists risk-free assets stocks, in which return rate stocks is stochastic process cannot be completely observed. adopts mean-variance utility model as an optimization criterion. aim to maximize terminal value pension fund excess after participant’s retirement. equations developed game theory obtain explicit solutions equilibrium strategies. Finally, influence trend on internal structure system sensitivity strategies related parameters explored numerical analysis. conclusion shows that this model’s results can provide stable adequate retirement benefits participants.