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題名:考量隨機利率下物價連動保證對退休金制度年金成本評價之分析
書刊名:臺大管理論叢
作者:陳芬英 引用關係楊曉文黃泓智 引用關係
作者(外文):Chen, Fen-yingYang, Sharon S.Huang, Hong-chih
出版日期:2019
卷期:29:2
頁次:頁29-59
主題關鍵詞:物價連動年金利率風險通貨膨脹風險遠期利率模型Inflation-linked annuityInterest rate riskInflation riskForward interest rate model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:4
  • 點閱點閱:5
期刊論文
1.Brown, R. H.、Schaefer, S. M.(1994)。The term structure of real interest rates and the Cox, Ingersoll, and Ross model。Journal of Financial Economics,35(1),3-42。  new window
2.Jarrow, R.、Yildirim, Y.(2003)。Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model。Journal of Financial and Quantitative Analysis,38(2),337-359。  new window
3.Roll, R.(1996)。U.S. Treasury inflation-indexed bonds: the design of a new security。The Journal of Fixed Income,6(3),9-28。  new window
4.Woodward, G. T.(1990)。The real thing: a dynamic profile of term structure of real interest rates and inflation expectations in the United Kingdom, 1982-89。Journal of Business,63(3),373-398。  new window
5.王儷玲、黃泓智、陳彥志、鄭惠恒(20190800)。臺灣年金制度改革的財務影響與世代不均問題。臺大管理論叢,29(2),139-171。new window  延伸查詢new window
6.Barr, D. G.、Campbell, J. Y.(1997)。Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices。Journal of Monetary Economics,39(3),361-383。  new window
7.Han, N. W.、Hung, M. W.(2012)。Optimal asset allocation for DC pension plans under inflation。Insurance: Mathematics and Economics,51(1),172-181。  new window
8.Tiong, S.(2013)。Pricing inflation-linked variable annuities under stochastic interest rates。Insurance: Mathematics and Economics,52(1),77-86。  new window
9.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
10.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
 
 
 
 
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