随机通货膨胀下DB养老金计划风险管理—Funding期权和Buyout期权及其定价  

Risk Management of DB Pension Plan under Stochastic Inflation: Funding Options and Buyout Options and Its Pricing

作　　者：张静 王传玉 吴津津 Zhang Jing;Wang Chuanyu;Wu Jinjin(School of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理学院

出　　处：《科研信息化技术与应用》2019年第3期61-70,共10页E-science Technology & Application

基　　金：国家自然科学基金资助项(61503001)，安徽省高等学校自然科学研究重点项目(KJ2018A0120);安徽省高等学校重大质量工程项目(2017jyxm0329)资助

摘　　要：近年来,Lin等人(2015)[1]发现固定收益DB养老金计划发起人他们用"长寿对冲"和"DB养老金收购"等策略来规避他们的计划风险的兴趣激增,DB养老金去风险化研究显得十分有意义。本文主要基于Cox等人(Cox, 2017)[2]提出的两个期权定价方式作进一步改进,在计算DB养老金资产指数时,将随机通货膨胀率考虑进去,假设通胀风险由服从几何布朗运动的物价指数来度量。然后引入一个基于模拟的定价框架,以确定funding期权和buyout期权的价格。我们在对于DB养老金计划资金充足与不充足两种情况进行了分情况讨论。数值表明,加入通货膨胀后的两种期权价格会高一点。此外,为了证明我们的结果的稳健性,我们探讨了参数中的值变化是如何影响DB养老金期权价格。灵敏度分析表明了我们的定价模型的更加可靠。In recent years, Lin et al.(2015) [1] have found a surge in interest in the use of strategies such as "longevity hedging" and "DB pension acquisitions" by fixed-income DB pension scheme sponsors to circumvent the risks of their plans. The research on the de-risk of DB pension appears to be of great significance. In this paper, two options pricing methods proposed by cox et al.(cox, 2017) [2] are further improved. When calculating the DB pension asset index, the random inflation rate is taken into account. It is assumed that inflation risk is measured by the price index following geometric Brownian motion. Then a simulationbased pricing framework is introduced to determine the price of funding option and buyout option. We discussed whether the DB pension scheme is well-funded or underfunded. The figures show that the price of the two options after adding inflation will be a little higher. In addition, in order to prove the robustness of our results, we discuss how the value changes in the parameters affect the price of DB pension options. Sensitivity analysis shows that our pricing model is more reliable.

关 键 词：膨胀 DB养老金计划 funding期权 buyout期权 DB养老金基金指数 

分 类 号：F83[经济管理—金融学]