This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go(PAYG)pension scheme.The social planner can invest in a buffer fund in order to guarantee a minimal pension amount.The ...This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go(PAYG)pension scheme.The social planner can invest in a buffer fund in order to guarantee a minimal pension amount.The model aims at taking into account complex dynamic phenomena such as the demographic risk and its evolution over time,the time and age dependence of agents preferences,and financial risks.The preference criterion of the social planner is modeled by a consistent dynamic utility defined on a stochastic domain,which incorporates the heterogeneity of overlapping generations and its evolution over time.The preference criterion and the optimization problem also incorporate sustainability,adequacy and fairness constraints.The paper designs and solves the social planner's dynamic decision criterion,and computes the optimal investment/pension policy in a general framework.A detailed analysis for the case of dynamic power utilities is provided.展开更多
In this paper, we study dynamically consistent nonlinear evaluations in Lp （1 〈 p 〈 2）. One of our aim is to obtain the following result： under a domination condition, an Ft-consistent evaluation is an Sg-evaluat...In this paper, we study dynamically consistent nonlinear evaluations in Lp （1 〈 p 〈 2）. One of our aim is to obtain the following result： under a domination condition, an Ft-consistent evaluation is an Sg-evaluation in Lp. Furthermore, without the assumption that the generating function g（t, w, y, z） is continuous with respect to t, we provide some useful characterizations of an εg-evaluation by g and give some applications. These results include and extend some existing results.展开更多
A 3-dimensional type-K competitive Lotka-Volterra system is considered in this paper. Two discretization schemes are applied to the system with an positive interior fixed point, and two corresponding discrete systems ...A 3-dimensional type-K competitive Lotka-Volterra system is considered in this paper. Two discretization schemes are applied to the system with an positive interior fixed point, and two corresponding discrete systems are obtained. By analyzing the local dynamics of the corresponding discrete system near the interior fixed point, it is showed that this system is not dynamically consistent with the continuous counterpart system.展开更多
基金The authors's research is part of the ANR project DREAMeS(ANR-21-CE46-0002)The research of Sarah Kaakai is Funded by the European Union(ERC,SINGER,101054787)。
文摘This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go(PAYG)pension scheme.The social planner can invest in a buffer fund in order to guarantee a minimal pension amount.The model aims at taking into account complex dynamic phenomena such as the demographic risk and its evolution over time,the time and age dependence of agents preferences,and financial risks.The preference criterion of the social planner is modeled by a consistent dynamic utility defined on a stochastic domain,which incorporates the heterogeneity of overlapping generations and its evolution over time.The preference criterion and the optimization problem also incorporate sustainability,adequacy and fairness constraints.The paper designs and solves the social planner's dynamic decision criterion,and computes the optimal investment/pension policy in a general framework.A detailed analysis for the case of dynamic power utilities is provided.
基金Supported by National Natural Science Foundation of China(Grant No.11171179)Doctoral Program Foundation of Ministry of Education of China(Grant No.20123705120005)+3 种基金Natural Science Foundation of Shandong Province of China(Grant No.ZR2012AQ009)Postdoctoral Science Foundation of China(Grant No.2012M521301)Doctoral Foundation of Qufu Normal University(Grant No.BSQD20110128)Youth Foundation of Qufu Normal University(Grant No.XJ201111)
文摘In this paper, we study dynamically consistent nonlinear evaluations in Lp （1 〈 p 〈 2）. One of our aim is to obtain the following result： under a domination condition, an Ft-consistent evaluation is an Sg-evaluation in Lp. Furthermore, without the assumption that the generating function g（t, w, y, z） is continuous with respect to t, we provide some useful characterizations of an εg-evaluation by g and give some applications. These results include and extend some existing results.
基金Supported by the Natural Science Foundation of Shandong Province (ZR2009AL010)Project of Shandong Province Higher Educational Science and Technology Program (J09LA51)Program for Innovative Research Team in Ludong University (08-CXB005)
文摘A 3-dimensional type-K competitive Lotka-Volterra system is considered in this paper. Two discretization schemes are applied to the system with an positive interior fixed point, and two corresponding discrete systems are obtained. By analyzing the local dynamics of the corresponding discrete system near the interior fixed point, it is showed that this system is not dynamically consistent with the continuous counterpart system.
