内容概要

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 approh 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 eh has a significant
effect on the value of retirement
benefits*
We also consider risk management
for this defned beneft underpin pensionplan* Assuming fxed interest
rates, and assuming that salaries can be treated as a tradable
asset, contribubion rates are develop tor the Entry Age
Normal(EAN), Pro jected Unit Credit(PUC), and Traditional Unit
Credit(TUC)funding methods*For the EAN, the contribution rates are
constant throughont the service period* However, the hedge
parameters for this method are not tradable* For the aruals
method, the individual contribution rates are not constant* For
both the PUC and TUC,a delta hedge strategy is derived and
explained*
The analysis is extended to
relax the tradable assumption for salaries, using the inflation as
a partial hedge* Finally, methods for incorporating volatility
rcing and risk management are
consddered*

书籍目录

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
　4*2 Assumptions
　4*3 Margrabe Option
　4*4 Strategy 1:EAN Ct Method
　4*5 Strategy2:EAN Ct Method
　4*6 Strategy3:PUC Ct Method
　4*7 Strategy4:TUC Ct Method
　4*8 Summary
Chapter 5 Numerical Examples of Hedging Cts
　5*1 Introduction
　5*2 Numerical Simulation
　5*3 Hedging Cts
　5*4 Scenario Tests
Chapter 6 Salary, Infation, and Equity Returns
　6*1 Ob jectives
　6*2 Data Analysis
　6*3 Selection of Hedging Assets
Chapter 7 Hedging Cts
　7*1 Introduction
　7*2 The Model for Salary and Infation
　7*3 Numerical Results
Chapter 8 Hedging with Stochastic Interest Rates
Chapter 9 Cts Control
Chapter 10 Comments and Further Work
Bibliography

章节摘录

版权页：插图：A pure defned contribution plan is a pension scheme where only contributions are fxed and benefts therefore depend on returns on the assets of the fund* Pension benefts are totally defned by the investment performance and employees make investment decisions* All investment risk is transferred to employees* The pension benefts may be very low when employees make bad, or unlucky investment decisions or the fnancial market is poor*Defned contribution plans have been far more popular recently for two main reasons* First, an employee knows the value of his or her retirement aount at any time; his or her plan is then more easily portable from a pany to another one* Moreover, employers do not bear any risk linked with the retirement system of panies* The problem here is the real need for a downside protection for employees* The ultimate aim of a pension plan is to fnance retirement and it usually provides the mt important source of employees ines after retirement* To provide some down side protection,some plans incorporate guarantees or -ups for when the beneft is very low* The main problem considered in this thesis is the DB minimum,which has not been much written about in the scientifc literature* However,there are other forms of DC guarantees, with some relevant ademic research*

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