摘要
针对养老基金嵌入的收益保证,在随机利率的框架下,结合养老基金的资产配置策略,提出了新的测算风险准备金方法,并以养老基金常用的生命周期策略为例,得到了风险准备金的解析解,最后,运用一个数值算例和中国金融市场数据实证研究了新方法的可行性与合理性。运用新的测算方法,所测算出的风险准备金能够反映投资机构所采取资产配置策略的风险偏好,更加真实和精确地刻画了养老基金投资机构所面临的风险。
For return guarantees embedded in pension fund,considering the asset allocation strategy taken by pension fund,we propose a new approach to computing reserves.We obtain analytical solution for computing reserves under deterministic lifestyle strategies,and empirically study the feasibility and rationality of the new approach through numerical examples and data from financial market.By the new approach,the reserves calculated may change with the risk preference of asset allocation strategy,which retlects the risk more accurately.This approach helps regulatory agency better prevent financial risk and improve the efficiency of risk reserves.
出处
《系统管理学报》
CSSCI
2012年第2期239-245,共7页
Journal of Systems & Management
基金
国家自然科学基金资助项目(70773076)
关键词
风险准备金
资产配置策略
收益保证
risk reserves
asset allocation strategy
return guarantees
