Pricing of a resettable guarantee of a salary-connected individual pension account

淡江大學機構典藏 > 商管學院 > 經濟學系暨研究所 > 期刊論文 > Item 987654321/100148

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题名:	Pricing of a resettable guarantee of a salary-connected individual pension account
作者:	CHEN, CHAO-LIANG
贡献者:	淡江大學經濟學系
关键词:	Individual pension account;salary-connected;reset feature
日期:	2016-10
上传时间:	2015-02-02 20:54:24 (UTC+8)
出版者:	Cambridge University Press
摘要:	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.
關聯:	Journal of Pension Economics and Finance 15(4), p.357-378
DOI:	10.1017/S1474747214000481
显示于类别:	[經濟學系暨研究所] 期刊論文

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