书籍详情
混合型个人养老金定价与风险管理
作者：陈凯
出版社：中央编译出版社
出版时间：2011-12-01
ISBN：9787511712202
定价：¥36.00
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内容简介
Hybrid pension plans offer employees the best features of bothdefned beneft and defned contribution plans. In this work， weconsider the hybrid design offering a defned contribution beneftwith a defned beneft guaranteed minimum underpin. This studyapplies the contingent claims approach to value the defnedcontribution beneft with a defned beneft guaranteed minimumunderpin. The study shows that entry age， utility functionparameters and the market price of risk each has a significanteffect on the value of retirementbenefits.We also consider risk managementfor this defned beneft underpin pensionplan. Assuming fxed interestrates， and assuming that salaries can be treated as a tradableasset， contribubion rates are develop tor the Entry AgeNormal（EAN）， Pro jected Unit Credit（PUC）， and Traditional UnitCredit（TUC）funding methods.For the EAN， the contribution rates areconstant throughont the service period. However， the hedgeparameters for this method are not tradable. For the accrualsmethod， the individual contribution rates are not constant. Forboth the PUC and TUC，a delta hedge strategy is derived andexplained.The analysis is extended torelax the tradable assumption for salaries， using the inflation asa partial hedge. Finally， methods for incorporating volatilityreducing and risk management areconsddered.
作者简介
暂缺《混合型个人养老金定价与风险管理》作者简介
目录
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 Strategy 2: EAN Cost Method
4.6 Strategy 3 : PUC Cost Method
4.7 Strategy 4: 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, lnfation, 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
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 Strategy 2: EAN Cost Method
4.6 Strategy 3 : PUC Cost Method
4.7 Strategy 4: 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, lnfation, 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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