Katkısı Belirli Emeklilik Planlarında Optimal Stratejilerin Belirlenmesi

Abstract

In our country, as in the rest of the world, the transition from defined benefit pension plans to defined contribution pension plans has become quite common in recent years. Because the investment risk is on the participant, it is very important to determine the optimal investment strategy in defined contribution pension plans. Another important decision made by the participant in defined contribution pension plans is the determination of the appropriate contribution rate. In addition, the participant may demand the amount of funds accumulated as a result of their contributions be at least equal to a certain amount. For this purpose, it is necessary to determine the appropriate minimum fund guarantee. Besides, the optimal investment strategy determined, the appropriate contribution rate and the appropriate minimum fund guarantee should be determined by taking into account the longevity risk arising from the decrease in mortality probabilities observed all over the world in recent years. Studies that determine the optimal investment strategy in defined contribution pension plans generally use the classical approach of maximizing expected utility. However, maximizing expected utility does not reflect the real world well, especially when the individual is loss-averse. Besides, most investors are actually loss-averse. Therefore, in this thesis, it is assumed that the participant is a loss-averse individual. Under iv the assumption that time is discrete in defined contribution pension plans, the optimal investment strategy for loss-averse individuals is determined by considering the longevity risk, with the appropriate contribution rate and the appropriate minimum fund guarantee. Dynamic programming method is used while determining the optimal investment strategy. A loss-averse individual follows a conservative investment strategy if the actual fund size is close to the targeted fund size, and follows an aggressive investment strategy while the actual fund size moves away from the targeted fund size. The optimal investment strategy for the loss-averse individual is to use the entire fund in a risky investment asset at the beginning of the accumulation period, to decrease the ratio of the fund used in the risk-free investment asset in the later years of the accumulation period, to increase the ratio used in the risk-free investment asset, and to use a large part of the fund in the risk-free investment asset at the end of the accumulation period. Determining the appropriate contribution rate and the appropriate minimum fund guarantee for the loss-averse individual reduces the risk in the optimal investment strategy. The loss-averse individual should follow a more aggressive investment strategy in the accumulation period to cope with the longevity risk during the distribution period. However, since the loss-averse individual will not prefer a riskier investment strategy, he or she can alternatively cope with this risk by determining the appropriate contribution rate or the appropriate minimum fund guarantee. Both the appropriate contribution rate and the appropriate minimum fund guarantee should be determined together in order to decrease the risk of the optimal investment strategy in the accumulation period.