内容简介
本书通过加入年龄正常成本法、预计单位成本给付法以及传统单位成本给付法，分别计算费率、探究了波动率降低方法以及风险管理方法。
作者简介陈 凯 精算学博士，北美精算师协会准精算师。现任北京大学经济学院风险管理与保险学讲师，北京大学中国保险与社会保障研究中心（CCISSR）研究员，北京大学经济学院中国精算发展研究中心常务副主任。教学研究方向包括风险管理、养老金产品设计与定价、保险精算学等。曾应邀多次参加国际精算学术会议并发表演讲。担任《中国保险报》北大保险评论专栏的评论员。在加拿大滑铁卢大学就读博士期间，曾获北美精算师协会博士奖学金、加拿大帝国人寿保险公司奖学金、加拿大通用保险公司奖学金等多项奖励。
Chapter 1Introduction
Chapter 2Current Pension Systems and Pension Fund RiskManagement
2.1 Defned Beneft Plan
2.2 Funding Methods for DB Plans
2.3 Defned Contribution Plan
2.4 Pension Reform
2.5 Hybrid Pension Plans
Chapter 3The Valuation of a DB Underpin Pension
3.1 Introduction
3.2 The Model and Assumptions
3.3 Numerical Techniques
3.4 Results
3.5 Scenario Test
Chapter 4Funding Strategies with Two Traded Assets
4.1 Introduction to Risk Management
4.2 Assumptions
4.3 Margrabe Option
4.4 Strategy 1: EAN Cost Method
4.5 Strategy 2: EAN Cost Method
4.6 Strategy 3: PUC Cost Method
4.7 Strategy 4: TUC Cost Method
4.8 Summary
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Chapter 1Introduction
In recent years, the design of pension plans has become an important topic for pension fund managers. There are two basic kinds of pension plans: Defned Beneft(DB)and Defned Contribution(DC).
In a defned contribution plan, the total rate of contribution is fxed in advance,sometimes at a set rate, such as 7% of annual salary.The level of pension benefts is unpredictable; the amount of pension employees receive depends on the investment experience of their own pension accounts and the cost of annuitization at retirement. Depending on the longterm investment results that employees achieve, the defned contribution pension could be signifcantly higher, or signifcantly lower, than the pension under a comparable defned beneft plan. Examples of defned contribution plans include 401(k)plans, 403(b)plans, employee stock ownership plans, and proftsharing plans.
In a defned beneft plan, employees receive a pension based on a formula.The plan may state this promised beneft as an exact dollar amount, such as $1000 per month at retirement. More commonly, the beneft is calculated through a specifed formula that includes such factors as years of service and salary. For example, a defned beneft pension might be calculated as 1.5% of average salary for the fnal 5 years of employment, for every year of service with an employer.The benefts in most traditional DB plans may be protected, within certain limitations, by federal insurance.For example, in the U.S., such insurance is provided through the Pension Beneft Guaranty Corporation(PBGC). Nevertheless, it is the employers' responsibility to ensure that contributions and investment earnings are sufcient to provide the employees' pension benefts. To compare DB plans with DC plans, we assume there is a defned beneft account equal to the market value of the DB benefts.
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