混合型个人养老金定价与风险管理

图书标准信息

• 作者 陈凯 著
• 出版社 中央编译出版社
• 出版时间 2011-12
• 版次 1
• ISBN 9787511712202
• 定价 36.00元
• 装帧 平装
• 开本 16开
• 纸张 胶版纸
• 页数 143页
• 字数 189千字
• 正文语种 英语
• 丛书 当代中国学术文库

【内容简介】

Hybridpensionplansofferemployeesthebestfeaturesofbothdefnedbeneftanddefnedcontributionplans.Inthiswork，weconsiderthehybriddesignofferingadefnedcontributionbeneftwithadefnedbeneftguaran-teedminimumunderpin.Thisstudyappliesthecontingentclaimsapproachtovaluethedefnedcontributionbeneftwithadefnedbeneftguaranteedminimumunderpin.Thestudyshowsthatentryage，utilityfunctionparam-etersandthemarketpriceofriskeachhasasignifcanteffectonthevalueofretirementbenefts.

【目录】

Chapter1Introduction

Chapter2CurrentPensionSystemsandPensionFundRiskManagement
2.1DefnedBeneftPlan
2.2FundingMethodsforDBPlans
2.3DefnedContributionPlan
2.4PensionReform
2.5HybridPensionPlans

Chapter3TheValuationofaDBUnderpinPension
3.1Introduction
3.2TheModelandAssumptions
3.3NumericalTechniques
3.4Results
3.5ScenarioTest

Chapter4FundingStrategieswithTwoTradedAssets
4.1IntroductiontoRiskManagement
4.2Assumptions
4.3MargrabeOption
4.4Strategy1:EANCostMethod
4.5Strategy2:EANCostMethod
4.6Strategy3:PUCCostMethod
4.7Strategy4:TUCCostMethod
4.8Summary

Chapter5NumericalExamplesofHedgingCosts
5.1Introduction
5.2NumericalSimulation
5.3HedgingCosts
5.4ScenarioTests

Chapter6Salary,lnfation,andEquityReturns
6.1Objectives
6.2DataAnalysis
6.3SelectionofHedgingAssets

Chapter7HedgingCosts
7.1Introduction
7.2TheModelforSalaryandInfation
7.3NumericalResults

Chapter8HedgingwithStochasticInterestRates
8.1Introduction
8.2AfneTermStructures
8.3EstimatedAnnuityRates
8.4NumericalResultsforStrategy3
8.5NumericalResultsforStrategy4

Chapter9CostsControl
9.1Introduction
9.2UnstableHedgingCashFlowsandHedgingCostSpikes
9.3SalaryGrowthRateControl
9.4ArithmeticAverageonSalaries
9.5OtherCostControlMethods

Chapter10CommentsandFurtherWork
10.1SalaryGrowthRate
10.2OtherRiskManagementApproaches
10.3CostsControl
Bibliography