| 摘要: |
| 养老金计划根据给付确定的方法主要分为固定收益计划（DB计划）和固定缴资计划（DC计划）；主要运用了风险中性资产定价的方法，分析了在随机通货膨胀率下DB计划中隐含的由雇员工资引起的指数化调整期权的定价，最后通过固定某些参数对所得结果进行数值模拟，并进行相应的解释，而所得模拟结果可以插入到该计划的资产负债表中，形成整体资产负债表，从而对该计划发起人进行有效的资产负债管理具有重要的意义。 |
| 关键词: DB计划 整体资产负债表 随机通货膨胀率 指数化调整期权 |
| DOI： |
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| The Value of the Indexation Option in the Defined Benefit Plan under the Stochastic Inflation Rate |
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FANG Dong dong, WANG Chuan yu, SUN Hui ling
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| Abstract: |
| Generally, the pension plan can be divided into the defined benefit plan (DB plan) and the defined contribution plan (DC plan). This paper mainly uses the method of risk neutral pricing, and analyzes the value of the indexation option implied in the DB plan under the stochastic inflation rate. Finally, through the numerical simulation under the condition of given parameters, the analysis of the results is provided. Then the results can insert into the balance sheet of the plan. So we get the holistic balance sheet. Therefore, it has great significance to the effective asset and liability management for the sponsor. |
| Key words: DB plan holistic balance sheet stochastic inflation rate indexation option |
