Collective Defined Contribution Pension with Stochastic Age-structured Models
By Fan Zhang
We have reconfigured the Age-structured Model(ASM) model, leveraging its mathematical underpinnings rooted in cohort dynamics. This paper applies the novel ASM framework to the issue of Collective Defined Contribution Pension(CDC) pensions, providing a profound characterization of population dynamics and asset fluctuations at each time-age point within the pension context. This serves to substantiate the novel ASM framework as the key mathematical model for addressing CDC-related challenges. Furthermore, we have illustrated the distinct advantages of ASM through this model instantiation and have derived the Black-Scholes equation for this specific problem. Finally, we have employed simulations to effectively demonstrate our model’s capabilities, emphasizing its capacity to capture stochastic risks in three directions. We have also underscored the two fundamental principles guiding ASM-specific simulation methods. his work will provide guidance for future optimization research in the field of CDC.
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