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    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/73766

    題名: Allocating Unfunded Liability in Pension Valuation under Uncertaionty
    作者: 張士傑;Cheng, Hsin-Yi
    貢獻者: 風管系
    日期: 2002-06
    上傳時間: 2015-03-11 12:34:24 (UTC+8)
    摘要: This paper studied the cost allocation for the unfunded liability in a defined benefit pension scheme incorporating the stochastic phenomenon of its returns. In the recent literature represented by Cairns and Parker [Insurance: Mathematics and Economics 21 (1997) 43], Haberman [Insurance: Mathematics and Economics 11 (1992) 179; Insurance: Mathematics and Economics 13 (1993) 45; Insurance: Mathematics and Economics 14 (1994) 219; Insurance: Mathematics and Economics 14 (1997) 127], Owadally and Haberman [North American Actuarial Journal 3 (1999) 105], the fund level is modeled based on the plan dynamics and the returns are generated through several stochastic processes to reflect the current realistic economic perspective to see how the contribution changed as the cost allocation period increased. In this study, we generalize the previous constant value assumption in cost amortization by modeling the returns and valuation rates simultaneously. Taylor series expansion is employed to approximate the unconditional and conditional moments of the plan contribution and fund level. Hence the stability of the plan contribution and the fund size under different allocation periods could be estimated, which provide valuable information adding to the previous works.
    關聯: Insurance:Mathematics and Economics,30(3),375-391
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/S0167-6687(02)00118-X
    DOI: 10.1016/S0167-6687(02)00118-X
    顯示於類別:[風險管理與保險學系 ] 期刊論文


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