Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. Hence, the provider has to be prepared to offer suitable investment opportunities. Further, the provider has to manage the new risks and chances of those assets in the whole portfolio. We therefore especially look at possible consequences for optimal portfolio decisions of a life insurer and suggest modeling approaches for the evolution of the demand and the sustainability ratings for sustainable assets. We will solve various portfolio problems under sustainability constraints explicitly and suggest further research topics. As a special feature for a life insurer, we particularly look at the role of the actuarial reserve fund and the annual declaration of its return.

自 2022 年 8 月起，客户在签订养老金合同时必须询问他们是否对可持续投资感兴趣。因此，供应商必须准备好提供合适的投资机会。此外，提供商必须管理整个投资组合中这些资产的新风险和机会。因此，我们特别关注人寿保险公司的最佳投资组合决策可能产生的后果，并针对需求演变和可持续资产的可持续性评级提出建模方法。我们将明确解决可持续性约束下的各种投资组合问题，并提出进一步的研究课题。作为人寿保险公司的一个特点，我们特别关注精算准备金的作用及其年度申报表。