混合型个人养老金定价与风险管理

章节摘录

版权页：插图：A pure defned contribution plan is a pension scheme where only contributions are fxed and benefts therefore depend on returns on the assets of the fund. Pension benefts are totally defned by the investment performance and employees make investment decisions.  All investment risk is transferred to employees. The pension benefts may be very low when employees make bad, or unlucky investment decisions or the fnancial market is poor.Defned contribution plans have been far more popular recently for two main reasons. First, an employee knows the value of his or her retirement account at any time; his or her plan is then more easily portable from a company to another one. Moreover, employers do not bear any risk linked with the retirement system of companies. The problem here is the real need for a downside protection for employees. The ultimate aim of a pension plan is to fnance retirement and it usually provides the most important source of employees' incomes after retirement. To provide some down side protection,some plans incorporate guarantees or top-ups for when the beneft is very low. The main problem considered in this thesis is the DB minimum,which has not been much written about in the scientifc literature. However,there are other forms of DC guarantees, with some relevant academic research.

书籍目录

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 ·

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作者简介

《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.

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