Journal of East China Normal University(Natural Sc ›› 2005, Vol. 2005 ›› Issue (5/6): 126-131.

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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

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

CLC Number: