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Raising and investing pension fund

Author: CuiYuJie
Tutor: ShenYu；LiZuoYu
School: North China University of
Course: Quantitative Economics
Keywords: Pension plans, actuarial , implicit debt , options , duration
CLC: F840
Type: Master's thesis
Year: 2001
Downloads: 434
Quote: 1
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Abstract


Based on the peak of population aging is approaching, now pay as you go system of pension insurance encounter barriers to lack of funds, and hinder the overall growth of the economy, walk the road of Funds and partially funded system is imperative, this paper attempts to use actuarial theory combined with the investment management capabilities, to achieve optimal management of pension fund assets debt mode. In accordance with the thought that my work in the following points: First, compared to the three funding model system as a starting point to analyze the advantages and disadvantages of various modes and examples, come to take the part of a multi-pillar funded system of inevitability. Second, the exposition pension fund raising actuarial models, especially the use of these models the transition in China now pay-as-Implicit Pension Debt (IPD) was calculated and made an empirical analysis, has been more than the international popular rough estimate more accurate conclusions, which is China's pension to take further policy has a very important significance. Third, how to achieve the return on investment in the pension actuarial model, using modern finance theory of investment and pension insurance fund looking for pension fund investment, pension fund and capital markets, and focus on analysis of pension fund of their own characteristics, based on research investments of pension fund risk-return model, and discusses the significance of several important pricing model for pension fund investment, find out the pension fund and the capital market in China grow together to grow the correct path. Fourth, financial engineering as a future source of financial innovation, inevitable in the investment management of pension funds to play its proper role, which take advantage of the characteristics of endowment insurance of their own characteristics and financial engineering combine to make full use of options to achieve pension assets and liabilities of the proper match, pension fund management optimization. Discusses the duration and convexity of the pension fund asset and liability management, by the nature of the duration and convexity proper arrangement pension fund assets and liabilities, the balance of the pension fund exemptions strategy. All this with the pension fund and the rapid development of China's capital market in the near future will be achieved.

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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