出版社：中央编译出版社
年代：2011
定价：36.0
本书通过加入年龄正常成本法、预计单位成本给付法以及传统单位成本给付法，分别计算费率、探究了波动率降低方法以及风险管理方法。
Chapter 1 Introduction
Chapter 2 Current Pension systems and Pension Fund RiskManagement
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
Chapter 9 Costs Control
Chapter 10 Comments and Further Work
Bibliography
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.
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| 书名 | 混合型个人养老年金定价与风险管理站内查询相似图书 | ||
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| 出版地 | 北京 | 出版单位 | 中央编译出版社 |
| 版次 | 1版 | 印次 | 1 |
| 定价(元) | 36.0 | 语种 | 简体中文 |
| 尺寸 | 24 × 17 | 装帧 | 平装 |
| 页数 | 印数 | ||
混合型个人养老年金定价与风险管理是中央编译出版社于2011.12出版的中图分类号为 F249.213.4 的主题关于 退休金－劳动制度－研究－中国 ,退休金－风险管理－研究－中国 的书籍。