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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/100148

    Title: Pricing of a resettable guarantee of a salary-connected individual pension account
    Authors: 陳炤良=CHEN, CHAO-LIANG
    Contributors: 淡江大學經濟學系
    Keywords: Individual pension account;salary-connected;reset feature
    Date: 2016-10-01
    Issue Date: 2015-02-02 20:54:24 (UTC+8)
    Publisher: Cambridge University Press
    Abstract: The present paper numerically prices a resettable guarantee of a salary-connected individual pension account (IPA). The results indicate that a principal guarantee without a reset feature is not worth much unless the volatility of assets in the IPA is huge, while the death benefit contributes a very small proportion to the guarantee value. Deferred proportional funding is an alternative to reducing problems from the difficulty in modeling salary behavior, because the required deferred proportional cost is impacted less by the salary behavior. Moreover, if the lapse from a guarantee is possible, then the guarantee is not necessarily more valuable for a younger individual.
    Relation: Journal of Pension Economics and Finance 15(4), pp.357-378
    DOI: 10.1017/S1474747214000481
    Appears in Collections:[經濟學系暨研究所] 期刊論文

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