| 测算养老基金内嵌收益保证风险准备金的新方法 |
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| 引用本文： | 王亦奇,刘海龙,李含伟.测算养老基金内嵌收益保证风险准备金的新方法[J].系统管理学报,2012,21(2):239-245. |
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| 作者姓名： | 王亦奇 刘海龙 李含伟 |
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| 作者单位： | 1. 上海证券交易所研究中心,上海,200120
2. 上海交通大学安泰经济与管理学院,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 针对养老基金嵌入的收益保证,在随机利率的框架下,结合养老基金的资产配置策略,提出了新的测算风险准备金方法,并以养老基金常用的生命周期策略为例,得到了风险准备金的解析解,最后,运用一个数值算例和中国金融市场数据实证研究了新方法的可行性与合理性。运用新的测算方法,所测算出的风险准备金能够反映投资机构所采取资产配置策略的风险偏好,更加真实和精确地刻画了养老基金投资机构所面临的风险。
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| 关 键 词： | 风险准备金 资产配置策略 收益保证 |
A New Approach to Computing Reserves for Return Guarantees Embedded in Pension Fund |
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| WANG Yi-qi
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LIU Hai-long
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LI Han-wei.A New Approach to Computing Reserves for Return Guarantees Embedded in Pension Fund[J].Systems Engineering Theory·Methodology·Applications,2012,21(2):239-245. |
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| Authors: | WANG Yi-qi LIU Hai-long LI Han-wei |
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| Affiliation: | 1.Research Center,Shanghai Stock Exchange,Shanghai 200120,China;2.Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China) |
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| Abstract: | For return guarantees embedded in pension fund,considering the asset allocation strategy taken by pension fund,we propose a new approach to computing reserves.We obtain analytical solution for computing reserves under deterministic lifestyle strategies,and empirically study the feasibility and rationality of the new approach through numerical examples and data from financial market.By the new approach,the reserves calculated may change with the risk preference of asset allocation strategy,which retlects the risk more accurately.This approach helps regulatory agency better prevent financial risk and improve the efficiency of risk reserves. |
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| Keywords: | risk reserves asset allocation strategy return guarantees |
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