| 雇主养老金计划的统一及定价模型 |
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| 引用本文： | 温利民,韩天雄.雇主养老金计划的统一及定价模型[J].华东师范大学学报(自然科学版),2005(Z1). |
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| 作者姓名： | 温利民 韩天雄 |
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| 作者单位： | 江西师范大学数信学院，华东师范大学统计系 南昌 330027，上海 200062 |
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| 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．
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| 关 键 词： | DB型计划 DC型计划 TMP型计划 看涨期权 看跌期权 |
The Consistence and Valuation of Pensions Based on Options |
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| WEM Li-min,HAN Tian-xiong.The Consistence and Valuation of Pensions Based on Options[J].Journal of East China Normal University(Natural Science),2005(Z1). |
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| Authors: | WEM Li-min HAN Tian-xiong |
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| Institution: | WEM Li-min~1,HAN Tian-xiong~2 |
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| 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. |
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| Keywords: | DB scheme DC scheme TMP scheme call Put |
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