Research On Employment Annuity Investment

With the speeding tendency of aging society, countries all over the world are pursuing reforms of social security system. As one of the three-pillar system, employment annuity plays an important role in supplementing foundational social security system and providing retirees with income guarantee. Since employment annuity investment has a direct influence on the maintenance and increase of annuity fund, it is worth to research on the investment management method in China.Different from short term investors, employment annuity fund characterizes in long term. Under the condition of continuous time , the strategic asset allocation of annuity fund turns into a dynamic optimizing problem, which studies the wealth distribution between consumption and investment, and the allocation between risk and risk-free assets within the investment constraints in accordance with risk-return characters of various investment assets. Because the return of assets may change in long time, and the amount restriction may cause sub-optimal portfolio , the investors suffer from the decrease of return. Therefore ,it is necessary to establish a long term asset allocation method suitable for employment annuity investment, and achieve re-equilibrium of portfolio in different investment environments in order to realize the long term target.The paper adopts both qualitative and quantitative methods to study the long term investment of employment annuity under continuous-time framework based on the previous literatures. After detail analysis of investment risks, an optimal asset allocation model is brought out based on the asset-liability management theory, and is used to analyze the influence of investment constraints. Finally , the article gives some suggestions on investment practice in China by comparison of successful investment experience of foreign employment annuity.