The valuation and risk management of a DB underpin pension plan = 混合型个人养老年金定价与风险管理 /

Chapter1 Introduction

Chapter2 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

Chapter3 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

Chapter4 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 Strategy2:EAN Cost Method

 4.6 Strategy3:PUC Cost Method

 4.7 Strategy4:TUC Cost Method

 4.8 Summary

Chatrer5 Numerical Examples of Hedging Costs

 5.1 Introduction

 5.2 Numerical Simulation

 5.3 Hedging Costs

 5.4 Scenario Tests

Chapter6 Salary, Infation, and Equity Returns

 6.1 Ob jectives

 6.2 Data Analysis

 6.3 Selection of Hedging Assets

Chapter7 Hedging Costs

 7.1 Introduction

 7.2 The Model for Salary and Infation

 7.3 Numerical Results

Chapter8 Hedging with Stochastic Interest Rates

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Chapter9 Costs Control

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Chapter10 Comments and Further Work

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Bibliography