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陈凯 著 / 中央编译出版社 / 2011-12 / 平装
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混合型个人养老金定价与风险管理
Hybridpensionplansofferemployeesthebestfeaturesofbothdefnedbeneftanddefnedcontributionplans.Inthiswork,weconsiderthehybriddesignofferingadefnedcontributionbeneftwithadefnedbeneftguaran-teedminimumunderpin.Thisstudyappliesthecontingentclaimsapproachtovaluethedefnedcontributionbeneftwithadefnedbeneftguaranteedminimumunderpin.Thestudyshowsthatentryage,utilityfunctionparam-etersandthemarketpriceofriskeachhasasignifcanteffectonthevalueofretirementbenefts.
Chapter1IntroductionChapter2CurrentPensionSystemsandPensionFundRiskManagement2.1DefnedBeneftPlan2.2FundingMethodsforDBPlans2.3DefnedContributionPlan2.4PensionReform2.5HybridPensionPlansChapter3TheValuationofaDBUnderpinPension3.1Introduction3.2TheModelandAssumptions3.3NumericalTechniques3.4Results3.5ScenarioTestChapter4FundingStrategieswithTwoTradedAssets4.1IntroductiontoRiskManagement4.2Assumptions4.3MargrabeOption4.4Strategy1:EANCostMethod4.5Strategy2:EANCostMethod4.6Strategy3:PUCCostMethod4.7Strategy4:TUCCostMethod4.8SummaryChapter5NumericalExamplesofHedgingCosts5.1Introduction5.2NumericalSimulation5.3HedgingCosts5.4ScenarioTestsChapter6Salary,lnfation,andEquityReturns6.1Objectives6.2DataAnalysis6.3SelectionofHedgingAssetsChapter7HedgingCosts7.1Introduction7.2TheModelforSalaryandInfation7.3NumericalResultsChapter8HedgingwithStochasticInterestRates8.1Introduction8.2AfneTermStructures8.3EstimatedAnnuityRates8.4NumericalResultsforStrategy38.5NumericalResultsforStrategy4Chapter9CostsControl9.1Introduction9.2UnstableHedgingCashFlowsandHedgingCostSpikes9.3SalaryGrowthRateControl9.4ArithmeticAverageonSalaries9.5OtherCostControlMethodsChapter10CommentsandFurtherWork10.1SalaryGrowthRate10.2OtherRiskManagementApproaches10.3CostsControlBibliography
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