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Risks 2016, 4(3), 19; doi:10.3390/risks4030019

An Optimal Turkish Private Pension Plan with a Guarantee Feature

Department of Econometrics, Faculty of Economics and Administrative Sciences, Trakya University, 22030 Edirne, Turkey
Academic Editor: Mogens Steffensen
Received: 10 February 2016 / Revised: 1 June 2016 / Accepted: 13 June 2016 / Published: 27 June 2016
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Abstract

The Turkish Private Pension System is an investment system which aims to generate income for future consumption. This is a volunteer system, and the contributions are held in individual portfolios. Therefore, management of the funds is an important issue for both the participants and the insurance company. In this study, we propose an optimal private pension plan with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula for the optimal strategy with the help of dynamic programming. Moreover, our model is evaluated with numerical examples, and we compare its performance by implementing a sensitivity analysis. View Full-Text
Keywords: Private Pension Plans; Guaranteed Products; CPPI; HJB-Equation Private Pension Plans; Guaranteed Products; CPPI; HJB-Equation
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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. (CC BY 4.0).

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İşcanog̃lu-Çekiç, A. An Optimal Turkish Private Pension Plan with a Guarantee Feature. Risks 2016, 4, 19.

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