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商品名称：混合型个人养老年金定价与风险管理陈凯保险书籍国家图书馆书店正版

商品编号：608936155401

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重量：0.000千克

上架时间：2021-03-18 10:20:45

ISBN编号：9787511712202

书名：混合型个人养老年金定价与风险管理/当代中国学术文库,混合型个人养老年金定价与风险管理/当代中国学术文库

作者：陈凯

出版社名称：中央编译出版社

定价：36.00元

是否是套装：否

开本：16

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基本信息书名：混合型个人养老年金定价与风险管理作者：陈凯著出版社：中央编译出版社出版日期： 2011-12-01 版次： 1 ISBN： 9787511712202 市场价： 36.0 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 ...

基本信息

书名：

混合型个人养老年金定价与风险管理

作者：

陈凯著

出版社：

中央编译出版社

出版日期：

2011-12-01

版次：

ISBN：

9787511712202

市场价：

36.0

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 内容介绍 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. 在线试读 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.
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