英文标题：
《Valuation of a Bermudan DB underpin hybrid pension benefit》
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作者：
Xiaobai Zhu, Mary Hardy and David Saunders
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最新提交年份：
2017
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英文摘要：
  In this paper we consider three types of embedded options in pension benefit design.   The first is the Florida second election (FSE) option, offered to public employees in the state of Florida in 2002. Employees were given the option to convert from a defined contribution (DC) plan to a defined benefit (DB) plan at a time of their choosing. The cost of the switch was assessed in terms of the ABO (Accrued Benefit Obligation), which is the expected present value of the accrued DB pension at the time of the switch. If the ABO was greater than the DC account, the employee was required to fund the difference.   The second is the DB Underpin option, also known as a floor offset, under which the employee participates in a DC plan, but with a guaranteed minimum benefit based on a traditional DB formula.   The third option can be considered a variation on each of the first two. We remove the requirement from the FSE option for employees to fund any shortfall at the switching date. The resulting option is very similar to the DB underpin, but with the possibility of early exercise. Since we assume that exercise is only permitted at discrete, annual intervals, this option is a Bermudan variation on the DB Underpin.   We adopt an arbitrage-free pricing methodology to value the option. We analyse and value the optimal switching strategy for the employee by constructing an exercise frontier, and illustrate numerically the difference between the FSE, DB Underpin and Bermudan DB Underpin options.
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中文摘要：
在本文中，我们考虑了养老金福利设计中的三种嵌入期权。第一个是佛罗里达州第二次选举（FSE），于2002年向佛罗里达州的公务员提供。员工可以选择在自己选择的时间将固定缴款（DC）计划转换为固定福利（DB）计划。转换成本根据ABO（应计福利义务）进行评估，ABO是转换时应计DB养老金的预期现值。如果ABO大于DC账户，则要求员工为差额提供资金。第二种是DB支持选项，也称为楼层补偿，根据该选项，员工参与DC计划，但基于传统DB公式，有保证的最低福利。第三个选项可以视为前两个选项的变体。我们从FSE选项中删除了要求员工在转换日期为任何短缺提供资金的要求。最终的方案与DB支柱非常相似，但有可能提前实施。由于我们假设仅允许在离散的年度间隔内行使，因此该选项是DB基础上的百慕大变化。我们采用无套利定价方法对期权进行估值。我们通过构建一个练习边界来分析和评估员工的最佳转换策略，并用数值说明FSE、DB-Underpin和百慕大DB-Underpin选项之间的差异。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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