《混合型個人養老金定價與風險管理》是2011年中央編譯出版社出版的圖書，作者是陳凱。
基本介紹
- 中文名：混合型個人養老金定價與風險管理
- 作者：陳凱
- 出版社：中央編譯出版社
- 出版時間：2011年12月1日
- 頁數：143 頁
- 開本：16 開
- ISBN：7511712207
- 外文名：The Valuation and Risk Management of a DB Underpin Pension Plan
- 語種：英語
內容簡介,圖書目錄,
內容簡介
《混合型個人養老金定價與風險管理(英文版)》為當代中國學術文庫之一。
《混合型個人養老金定價與風險管理(英文版)》主要內容簡介：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 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.
圖書目錄
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
