配偶保护型唐提式养老金：基于神经网络优化的家庭减支
Spouse-Protected Tontines: Household Decumulation via Neural-Network Optimization
- The University of Queensland（昆士兰大学）
机构由 AI 辅助整理，请以论文原文为准。
中文总结 AI 辅助
提出配偶保护型唐提式养老金，通过神经网络优化家庭减支，平衡支付与CVaR风险，量化配偶延续成本，实验显示该阶段普遍且持久。
中文摘要 AI 辅助
我们开发了一种配偶保护型唐提式养老金（spouse-protected tontine），其中首次死亡会改变家庭状态，但不会产生资金池转移。同一账户在家庭合同存续期间保持关联，直至合同终止；若退休者先去世，该账户将资助一个仅配偶存续阶段。我们推导了合同层面的精算公平条件，以及一个具有精确事后预算平衡的有限资金池死亡信用分配规则。在齐次大资金池近似下，我们为一个代表性家庭构建了多维减支问题，在退休者存活期间设有提款和再平衡控制。目标是在不依赖生存至期末的条件下，平衡预期累计实际家庭支付与相对于家庭储备目标的期末短缺的条件风险价值（CVaR）。我们开发了一种数值求解方法，该方法基于对可行控制策略的全局时间神经网络参数化。我们使用预期成本和风险加载的支付规模负荷，在代表性合同和账面两个层面量化了政策引发的配偶延续成本。我们将大账面下每份合同平均延续成本的极限特征描述为在共同市场信息条件下代表性合同预期成本的期望。以澳大利亚为基准的数值实验表明，仅配偶阶段是一个一阶且持续存在的家庭事件。在这些实验中，账面层面的分散化在大账面极限下消除了代表性合同配偶延续成本的大部分超额上尾，而不改变每份合同的预期延续成本。一项跨国死亡率比较表明，仅配偶阶段的普遍性和持续性并非澳大利亚特有。
英文摘要
We develop a spouse-protected tontine in which a first death changes the household state but generates no pool transfer. The same account remains attached to the household contract until extinction and funds a spouse-only continuation phase if the retiree dies first. We derive contract-level actuarial-fairness conditions and a finite-pool mortality-credit allocation rule with exact ex post budget balance. Under a homogeneous large-pool approximation, we formulate a multidimensional decumulation problem for a representative household, with withdrawal and rebalancing controls while the retiree is alive. The objective balances expected cumulative real household payments against the Conditional Value-at-Risk (CVaR) of terminal shortfalls relative to household reserve targets, without conditioning on survival to the horizon. We develop a numerical solution method for this problem based on a global-in-time neural-network parameterization of admissible control policies. We quantify policy-induced spouse-continuation costs using expected-cost and risk-loaded payment-scale loads at both representative-contract and book levels. We characterize the large-book limit of average per-contract continuation cost as the expected representative-contract cost conditional on common market information. Numerical experiments calibrated to Australia show that the spouse-only phase is a first-order and persistent household event. In these experiments, book-level diversification removes most of the representative-contract excess upper-tail cost of spouse continuation in the large-book limit, without changing expected per-contract continuation cost. A cross-country mortality comparison indicates that the prevalence and persistence of the spouse-only phase are not specific to Australia.
