混合型个人养老年金定价与风险管理 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

混合型个人养老年金定价与风险管理 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

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