华东师范大学学报(自然科学版) ›› 2005, Vol. 2005 ›› Issue (5/6): 126-131.

• 数学 统计学 • 上一篇    下一篇

雇主养老金计划的统一及定价模型

温利民1, 韩天雄2   

  1. 1. 江西师范大学数信学院, 南昌 330027; 2.华东师范大学统计系, 上海 200062
  • 收稿日期:2004-01-08 修回日期:2004-09-06 出版日期:2005-12-31 发布日期:2005-12-31
  • 通讯作者: 温利民

The Consistence and Valuation of Pensions Based on Options(Chinese)

WEM Li-min1, HAN Tian-xiong2   

  1. 1. Department of Mathematics, Jiangxi Normal University 330027, China 2. Department of Statistics, East China Normal University, Shanghai}, 200062, China
  • Received:2004-01-08 Revised:2004-09-06 Online:2005-12-31 Published:2005-12-31
  • Contact: WEM Li-min

摘要： 现代雇主养老金计划被广泛关注的有三种形式，即：缴费限定型（DC型）、给付限定型（DB型）、TMP型计划. 这三种形式各有其优点, 通过引入期权的概念, 将三种雇主养老金计划的形式统一起来, 并对此期权进行定价. 对 DB型养老金计划, 给出一种缴费与给付匹配准则, 在此准则下, 求出DB计划的最优缴费率.

关键词: DB型计划, DC型计划, TMP型计划, 看涨期权, 看跌期权, DB型计划, DC型计划, TMP型计划, 看涨期权, 看跌期权

Abstract: The private pension scheme includes three types of classical forms: defined benefit, defined contribution and targeted money purchase. None of three dominates the others uniformly. This paper shows that the three types of funded pension scheme are related to each others through a set of options on the underlying financial assets held in the fund. We also give the valuation of these options; and give a contribution principle under which the optimal contribution rate on a DB pension scheme is obtained.

Key words: DC scheme, TMP scheme, call, Put, DB scheme, DC scheme, TMP scheme, call, Put

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