作者：陈凯
页数：143
出版社：中央编译出版社
出版日期：2011
ISBN：9787511712202
电子书格式：pdf/epub/txt
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 guaranteed 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
parameters and the market price of risk each has a significant
effect on the value of retirement
benefits
本书特色
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 guaranteed minimum underpin. “Mixed type of individual pension annuity pricing and risk management”(Author:Chen Kai)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 parameters and the market price of risk each has a significant effect on the value of retirement benefits.
目录
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
