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混合型个人养老年金定价与风险管理

混合型个人养老年金定价与风险管理

1星价 ¥23.4 (6.5折)
2星价¥23.4 定价¥36.0
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  • ISBN:9787511712202
  • 装帧:一般胶版纸
  • 册数:暂无
  • 重量:暂无
  • 开本:16开
  • 页数:143
  • 出版时间:2011-12-01
  • 条形码:9787511712202 ; 978-7-5117-1220-2

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.

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

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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