Hybrid pension plans offer employees the best features of both defned beneft and defned contribution plans. In this work, we consider the hybrid design offering a defned contribution beneft with a defned beneft guaranteed minimum underpin. "Mixed type of individual pension annuity pricing and risk management"(Author:Chen Kai)applies the contingent claims approach to value the defned contribution beneft with a defned beneft guaranteed minimum underpin. The study shows that entry age, utility function parameters and the market price of risk each has a significant effect on the value of retirement benefits.

Chapter 1 Introduction

Chapter 2 Current Pension systems and Pension Fund Risk Management

2.1 Defned Beneft Plan

2.2 Funding Methods for DB Plans

2.3 Defned Contribution Plan

2.4 Pension Reform

2.5 Hybrid Pension Plans

Chapter 3 The Valuation of a DB Underpin Pension

3.1 Introduction

3.2 The Model and Assumptions

3.3 Numerical Techniques

3.4 Results

3.5 Scenario Test

Chapter 4 Funding Strategies with Two Traded Assets

4.1 Introduction to Risk Management

4.2 Assumptions

4.3 Margrabe Option

4.4 Strategy 1:EAN Cost Method

4.5 Strategy2:EAN Cost Method

4.6 Strategy3:PUC Cost Method

4.7 Strategy4:TUC Cost Method

4.8 Summary

Chapter 5 Numerical Examples of Hedging Costs

5.1 Introduction

5.2 Numerical Simulation

5.3 Hedging Costs

5.4 Scenario Tests

Chapter 6 Salary, Infation, and Equity Returns

6.1 Ob jectives

6.2 Data Analysis

6.3 Selection of Hedging Assets

Chapter 7 Hedging Costs

7.1 Introduction

7.2 The Model for Salary and Infation

7.3 Numerical Results

Chapter 8 Hedging with Stochastic Interest Rates

8.1 Introduction

8.2 Afne Term Structures

8.3 Estimated Annuity Rates

8.4 Numerical Resuhs for Strategy 3

8.5 Numerical Results for Strategy 4

Chapter 9 Costs Control

9.1 Introduction

9.2 Unstable Hedging Cash Flows and Hedging Cost Spikes

9.3 Salary Growth Rate Control

9.4 Arithmetic Average on Salaries

9.5 Other Cost Control Methods

Chapter 10 Comments and Further Work

10.1 Salary Growth Rate

10.2 Other Risk Management Approaches

10.3 Costs Control

Bibliography