This paper presents a novel optimization model that explores the optimal investment strategies for DC pension plans with return of premium clauses. We have assumed that the financial market consists of a risk-free asset and a risky asset, where the price of the risky asset follows the CEV model. Under the expected utility criterion, the optimal investment strategies were derived by employing stochastic optimal control theory and the Legendre transformation method. Explicit expressions of the optimal investment strategy were provided when the utility function was specified as exponential, power, or logarithmic. Finally, numerical analysis was conducted to examine the impact of factors such as interest rate, return rate, and volatility of the risky asset on the optimal strategies.

This paper investigates the optimal investment and benefit adjustment for target benefit pension plan considering the longevity trend. By using the Cobb-Douglas utility function and maximizing expected utility as the optimization criterion, we aim to find robust control strategies that account for the uncertainty in the financial market models. Based on stochastic control theory, the Hamilton-Jacobi-Bellman (HJB) equation is solved to obtain explicit solutions for the value function and control strategies. Finally, numerical analysis is conducted to study the impact of influencing factors on the strategies.