努同学2024-07-23 00:05:55
努同学不就是因为participants are entitled to receive a monthly benefit，所以才应该用cash flow matching吗？还有，答案中说的 The threshold of 5% (of assets greater than liabilities) is exceeded in both plans; the Lawson portfolio has a surplus of 7.7%, and the Wharton portfolio has a surplus of 11.8%.哪里有提到，题目信息有给吗，自己脑补的吧
回答（1）
Simon2024-08-06 18:52:42
Simon同学，上午好。
7.7%和11.8%是计算出来的，以lawson为例，PV asset超过养老金负债 7.7%，（15498000-14389000）/14389000 = 7.7%
只要资产现值超过负债现值，就可以用或有免疫，C是可以的。
但是B 因为有monthly benefit，每个月都有现金流出，很难找到匹配的债券组合，债券多是年付息或半年付息。
- 评论（0）
- 追问（0）
评论
0/1000
追答
0/1000
+上传图片