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基于消费者物价指数的养老金担保成本评估模型

Discussion of Valuation of Guarantee Embedded in Pension Plan Based on a Copula Approach
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摘要 探讨了以消费者物价指数为最低担保的缴费确定型养老金计划,并在应用Copula函数度量投资组合回报率与消费者物价指数增长率的相关关系基础上,建立了评估这种担保成本的模型,最后给出了担保成本的随机模拟算法。 The valuation model is derived for a defined contribution pension plan with the guarantee of a minimum rate of return depending on the consumer price index.The dependence between the return rate of the porlfolio and the consumer price index is modelled using a copula approach.The Monte Carlo simulation algorithm is described.
作者 张颖
机构地区 南京邮电大学通达学院
出处 《经济研究导刊》 2012年第22期76-78,共3页 Economic Research Guide
基金 南京邮电大学科研基金资助项目(NY210057)
关键词 担保 COPULA函数 消费者物价指数 养老金 guarantee copula the consumer price index pension
分类号 F22 [经济管理—国民经济]
  • 相关文献

参考文献9

  • 1Lindset S.Relative guarantees[J].The Geneva Papers on Risk and Insurance Theory, 2004, (29):187-209.
  • 2Brennan Michael J.,Eduardo S.Schwartz.The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee[J].Journal of Financial Economics, 1976, (3): 195-213.
  • 3Boyle Pheim., Eduardo S.Schwartz.Equilibrium Prices of Guarantees Under Equity-Linked Contracts[J].Journal of Risk and In- surance, 1977, (44):80-639.
  • 4Ekern S.,Persson S.A.Exotic unit-linked life insurance contracts[J].The Geneva Papers on Risk and Insurance Theory, 1996,(21):35--63.
  • 5Pennacchi G.G.The value of guarantees on pension fund returns[J].Journal of Risk and Insurance, 1999, (66):219-237.
  • 6Sharon S.Yang, Meng-Lan Yueh, Chun-Hua Tang.Valuation of the interest rate guarantee embedded in defined contribution pension plans[J].Insuranee: Mathematics and Economics,2008, (42):920-934.
  • 7刘昌平,孙静.供款基准制养老金计划的相对收益率担保研究——以智利、阿根廷、波兰为例[J].证券市场导报,2003(1):28-31. 被引量：5
  • 8吕伟,钟健.养老金担保与政府或有风险管理[J].财经科学,2005(4):97-103. 被引量：6
  • 9Sklar A.Fonctions de repartitionm dimensions et leurs marges[J].Publication de l'Institut de Statistique de l'Universit6de Paris, 1959, (8):229-231.

二级参考文献15

  • 1Turner, John A., and David M. Rajnes. 2001."Rate of Return Guarantees for Mandatory Defined Contribution Plans." International Social Security Review. Vol. 54. No. 4.: 49-66.
  • 2Turner, John A., and David M. Rajnes. 2002."Relative Rate of Return Guarantees for Social Security Defined Contribution Plans: What do They Accomplish?" Discussion Paper PI-0202. The Pensions Institute. Birkbeck College. University of London.
  • 3Pennachi, George G 2002. "Pension Guarantees: A Methodology for Assessing Fiscal Risk." In Government at Risk: Contingent Liabilities and Fiscal Risk, Copublication of the World Bank and Oxford University Press.
  • 4Black, Fischer, and Myron S. Scholes. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81: 637-54.
  • 5Merton, Robert C. 1973. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4: 141-83.
  • 6Pennachi, George G. 1999."The Value of Guarantees on Pension Fund Returns." The Journal of Risk and Insurance. Vol. 66. No. 2.: 219-237.
  • 7Fischer, Klaus P. 1998."A Discrete Martingale Model of Pension Fund Guarantees in Colombia: Pricing and Market Effects." Working Paper. Université Laval, Quebec.
  • 8Zarita, Salvador. 1994."Minimum Pension Insurance in the Chilean Pension System." Revista de Análisis Económico 9, 105-26.
  • 9Chlon,Agnieszka;Gora,Marek and Rutkowski,Michal."Shaping Pension Reform in Poland:Security through Diversity."Social Protection Discussion Paper No.9923,Pension Reform Primer,August 1999.(www.worldbasnd.org/pensions)
  • 10Gillion,Colin,John Turner,Clive Bailey,and Denis Latulippe (editors).Social Security:Reform and Development.Geneva,Switzerland,International labour Office.,2000.

共引文献9

经济研究导刊
2012年 第22期

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