政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/13072

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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/13072

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题名:	On the control of defined-benefit pension plans
作者:	黃泓智 Huang,Hong-Chih;Andrew J.G. Cairns
关键词:	Stochastic pension plan model;Contribution rate;Stability;Minimumvariance;Efficient region;Stochastic interest rates;Asset-allocation strategy
日期:	2006-03
上传时间:	2008-12-08 11:15:57 (UTC+8)
摘要:	Conventionally, contribution rates for defined-benefit pension plans have been set with reference to funding levels without making allowance for current market interest rates: for example, on one-year bonds where rates of return on fund assets are not independent from one year to the next. We consider how to make use of market information to reduce contribution rate volatility. The purpose of this paper is to provide a model for determining an appropriate contribution rate for defined benefit pension plans under a model where interest rates are stochastic and rates of return are random.We extend previous work in two ways. First, we introduce a model for short-term interest rates, which can be used to help control contribution-rate volatility. Second, we model three assets rather than the usual one (cash, bonds and equities) to allow comparison of different asset strategies. We develop formulae for unconditional means and variances. We then discuss how variability can be controlled most efficiently by setting contribution rates with reference to current funding levels and interest rates.
關聯:	Insurance: Mathematics and Economics,38,113-131
資料來源:	http://dx.doi.org/10.1016/j.insmatheco.2005.08.005
数据类型:	article
显示于类别:	[風險管理與保險學系] 期刊論文

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