混合型个人养老年金定价与风险管理

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.