簡體書 » 混合型個人養老年金定價與風險管理(英文版)

混合型個人養老年金定價與風險管理(英文版)

定價：~~216~~ 元

NT $ 65

作者：陳凱
出版社：中央編譯出版社
出版日期：2011-12-01
語言：簡體中文
ISBN10：7511712207
ISBN13：9787511712202
裝訂：平裝 / 143頁 / 普通級 / 單色印刷 / 初版

內容簡介

Hybrid pension plans offer employees the best features of both defned beneft and defned contribution plans。In this work，we consider the hybrid design offering a defned contribution beneft with a defned beneft guaranteed minimum underpin。This study applies the contingent claims approach to value the defned contribution beneft with a defned beneft guaranteed minimum underpin。The study shows that entry age，utility function parameters and the market price of risk each has a significant effect on the value of retirement benefits.

We also consider risk management for this defned beneft underpin pensionplan。Assuming fxed interest rates，and assuming that salaries can be treated as a tradable asset，contribubion rates are develop tor the Entry Age Normal（EAN），Pro jected Unit Credit（PUC），and Traditional Unit Credit（TUC）funding methods.For the EAN，the contribution rates are constant throughont the service period。However，the hedge parameters for this method are not tradable。For the accruals method，the individual contribution rates are not constant。For both the PUC and TUC,a delta hedge strategy is derived and explained.

The analysis is extended to relax the tradable assumption for salaries，using the inflation as a partial hedge。Finally，methods for incorporating volatility reducing and risk management are consddered.

Chapter 1 Introduction
Chapter 2 Current Pension systems and Pension Fund Risk Management
2.1 Defned Beneft Plan
2.2 Funding Methods for DB Plans
2.3 Defned Contribution Plan
2.4 Pension Reform
2.5 Hybrid Pension Plans
Chapter 3 The Valuation of a DB Underpin Pension
3.1 Introduction
3.2 The Model and Assumptions
3.3 Numerical Techniques
3.4 Results
3.5 Scenario Test
Chapter 4 Funding Strategies with Two Traded Assets
4.1 Introduction to Risk Management
4.2 Assumptions
4.3 Margrabe Option
4.4 Strategy 1:EAN Cost Method
4.5 Strategy2:EAN Cost Method
4.6 Strategy3:PUC Cost Method
4.7 Strategy4:TUC Cost Method
4.8 Summary
Chapter 5 Numerical Examples of Hedging Costs
5.1 Introduction
5.2 Numerical Simulation
5.3 Hedging Costs
5.4 Scenario Tests
Chapter 6 Salary，Infation，and Equity Returns
6.1 Ob jectives
6.2 Data Analysis
6.3 Selection of Hedging Assets
Chapter 7 Hedging Costs
7.1 Introduction
7.2 The Model for Salary and Infation
7.3 Numerical Results
Chapter 8 Hedging with Stochastic Interest Rates
8.1 Introduction
8.2 Afne Term Structures
8.3 Estimated Annuity Rates
8.4 Numerical Results for Strategy 3
8.5 Numerical Results for Strategy 4
Chapter 9 Costs Control
9.1 Introduction
9.2 Unstable Hedging Cash Flows and Hedging Cost Spikes
9.3 Salary Growth Rate Control
9.4 Arithmetic Average on Salaries
9.5 Other Cost Control Methods
Chapter 10 Comments and Further Work
10.1 Salary Growth Rate
10.2 Other Risk Management Approaches
10.3 Costs Control
Bibliography

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