The Valuation and Risk Management of a DB Underpin Pension Plan
The Valuation and Risk Management of a DB Underpin Pension Plan
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发表时间：
2007-08
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通讯作者：
Kai Chen
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作者：
Kai Chen
混合型退休金计划为员工提供固定收益和固定缴款计划的最佳功能。在这项工作中，我们考虑的混合设计提供了一个确定的贡献效益与确定的效益保证最低基础。本研究应用或有索赔权方法，以设定给付给付保证的最低基础来评估设定给付给付。研究表明，入职年龄、效用函数参数和风险市场价格对退休福利价值均有显著影响。我们还考虑了固定收益养老金计划的风险管理。假设固定利率，并假设工资可以被视为一种可交易的资产，则为入职年龄标准（EAN）、预计单位信用（PUC）和传统单位信用（TUC）供资方法开发了缴款率。对于EAN，缴款率在整个服务期间是恒定的。然而，这种方法的套期保值参数是不可交易的。对于应计制方法，个人供款率不是恒定的。对于PUC和TUC，推导并解释了delta对冲策略。将分析扩展到放宽工资的可交易假设，使用通货膨胀作为部分对冲。最后，考虑了波动性降低和风险管理相结合的方法。
Hybrid pension plans offer employees the best features of both defined benefit and defined contribution plans. In this work, we consider the hybrid design offering a defined contribution benefit with a defined benefit guaranteed minimum underpin. This study applies the contingent claims approach to value the defined contribution benefit with a defined benefit 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. We also consider risk management for this defined benefit underpin pension plan. Assuming fixed interest rates, and assuming that salaries can be treated as a tradable asset, contribution rates are developed for the Entry Age Normal (EAN), Projected Unit Credit(PUC), and Traditional Unit Credit (TUC) funding methods. For the EAN, the contribution rates are constant throughout the service period. However, the hedge parameters for this method are not tradable. For the accruals 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 reducing and risk management are considered.