Constant proportion portfolio insurance in defined contribution pension plan management

Korn, Ralf
Kestel, Sevtap Ayşe
We consider the optimal portfolio problem with minimum guarantee protection in a defined contribution pension scheme. We compare various versions of guarantee concepts in a labor income coupled CPPI-framework with random future labor income. Besides classical deterministic guarantees we also introduce path-dependent guarantees. To ensure that there is no bias in the comparison, we obtain the optimal CPPI-multiplier for each guarantee framework via using a classical stochastic control approach.


Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
TEMOÇİN, BÜŞRA ZEYNEP; KORN, Ralf; Kestel, Sevtap Ayşe (2018-01-01)
Portfolio insurance strategies are designed to protect investors against adverse market movements by providing an initially specified guarantee during the investment period. This kind of a protection mechanism is especially important for systems with long investment horizons such as pension plans. In this paper, we consider various versions of the Constant Proportion Portfolio Insurance (CPPI) method under discrete-time trading for a defined-contribution pension plan that includes regular contributions of r...
Constant proportion portfolio insurance in defined-contribution pension plan management
Temoçin, Büşra Zeynep; Kestel, Sevtap Ayşe; Korn, Ralf; Department of Financial Mathematics (2015)
In this thesis, various portfolio insurance strategies are designed and proposed for portfolio management of defined-contribution type pension plans. These type of plans consist of consecutive and defined premium payments which are invested in financial markets and lead to a benefit that will be collected at the retirement. Since the beneficiary faces all of the financial risk throughout the plan, a capital protection mechanism is needed in such retirement systems. The main contribution of the present resea...
Empirical comparison of portfolio risk diversification algorithms
Yerli, Çiğdem; Kestel, Sevtap Ayşe; Schindler, Nilüfer; Department of Financial Mathematics (2018)
The enhanced correlations during global financial crisis has revealed that simple asset allocation portfolios prove to be not well-diversified across different risk factors, which makes the risk based asset allocation strategies popular. However, the strategies still construct the risk concentrated portfolios due to the correlation among the asset classes. As a result, risk allocation among uncorrelated risk factors instead of risk allocation among asset classes have become widely used. This thesis aims to di...
Stochastic surplus processes with VaR AND CVaR simulations in actuarial applications
Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016)
The theory of ruin is a substantial study for those who are interested in financial survival probability based on the patterns imposed by the surplus process, which determines the insurer’s capital balance at a given time. In other words, fluctuations in aggregate claims as well as premiums in such processes can be secured by a certain capital. In this study, we simulate various surplus processes under different claim sizedistribution assumptions and extend the analyses by adding perturbation of a Brownian mo...
Valuation of life insurance contracts using stochastic mortality rate and risk process modeling
Çetinkaya, Şirzat; Hayfavi, Azize; Department of Financial Mathematics (2007)
In life insurance contracts, actuaries generally value premiums using deterministic mortality rates and interest rates. They have ignored them stochastically in most of the studies. However it is known that neither interest rates nor mortality rates are constant. It is also known that companies may encounter insolvency problems such as ruin, so the ruin probability need to be added to the valuation of the life insurance contracts process. Insurance companies should model their surplus processes to price som...
Citation Formats
B. Z. TEMOÇİN, R. Korn, and S. A. Kestel, “Constant proportion portfolio insurance in defined contribution pension plan management,” ANNALS OF OPERATIONS RESEARCH, pp. 329–348, 2018, Accessed: 00, 2020. [Online]. Available: