混合型养老金产品的定价及风险分析

The Valuation of Hybrid Pension Plans and Its Risk Analysis

混合型养老金就是把DB模式和DC模式有效结合起来的一种新的养老金计划。本文主要分析了两种典型的混合型养老金——传统DB模式与DC模式混合型养老金和保证固定收益率的混合型养老金,将养老金的固定收益保证视为欧式期权,利用Black-Scholes模型进行期权定价。再对两种养老金计划下投资组合风险和宏观经济风险对期权价格的影响进行分析。最后,本文对这两种计划进行了比较,发现在实务中保证固定收益率的混合型养老金更具有优势。

Hybrid pension is a combination of defined benefit pension plan and defined contribution plan. We analyzed two typical hybrid pension plans-the traditional DB model combined with the DC model and guaranteed fixed- rate pension plan. We treated the guaranteed benefits as a European put option and used the Black-Scholes formula to price the option value. We also analyzed the investment portfolio risks and macroeconomic risks for these two types of pension plans. We concluded that the guaranteed fixed-rate pension plan had more advantages in practical operation.