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混合型个人养老年金定价与风险管理 = The valuation and risk management of a DB underpin pension plan
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- 退休金 退休金劳动制度 研究 风险管理 研究
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豆瓣内容简介：
《混合型个人养老金定价与风险管理(英文版)》主要内容简介：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 guaran-teed 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 param-eters and the market price of risk each has a signifcant effect on the value of retirement benefts.
豆瓣作者简介：
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 ·
