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摘要翻译：
本文的目的是比较养老金计划在简化投资组合中的两种资产配置方法，即服从几何布朗运动的风险资产和无风险资产。资产配置的两个准则是保险公司的破产概率和经济资本的最优化。首先解决了具有确定性养老金支付的资产配置问题，然后解决了具有随机死亡率风险的资产配置问题。我们分析了公司全球风险中死亡率风险的部分。然后分析了养老金指数化对通货膨胀对资产配置的影响。
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英文标题：
《Rentes en cours de service : un nouveau crit\`ere d'allocation d'actif》
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作者：
Fr\'ed\'eric Planchet (SAF), Pierre-Emanuel Th\'erond (SAF)
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The two asset allocation criteria are the ruin probability of the insurance company and the optimization of the economic capital. We first solve the asset allocation problem with deterministic pension payments then with stochastic mortality risk. We analyze the part of mortality risk in the global risk of the company. Then we show the impact of the indexation of the pensions to the inflation on the asset allocation.
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PDF链接：
https://arxiv.org/pdf/1001.1914
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