Stochastic Interest Rate, Defined Benefit Pension Plan Funded Research

With the coming of the aging society, almost all governments in the word have paid great attentions to reduce the risk of ageing society and ensure that the old people have happy lives. Almost all the countries try to reform their retirement pension systems and look for the better retirement pension systems of theirs to solve aging society problems.Most of the pension reforms are changing from pay-as-you-go plan to funded plan. There are two funding models: defined benefit pension scheme and defined contribution pension scheme. In this thesis, defined benefit pension scheme is studied. The main contents in the thesis include:1. At first, using SAS software, the way of principal analysis and a set of data, the thesis analyses how interest rate affects the pension fund. By the analysis, it is proved that it is reasonable to use moving average MA(1) model to model a defined benefit pension fund model.2. The spread period of supplemental liability and the deviation of the defined benefit pension actual fund with respect to the expected fund under stochastic interest are discussed. By the analysis of the thesis, a appropriate spread year of supplemental liability is found, which is significant to change our country's present pension fund model and set up a suitable pension fund model of our country.3. Under the case that the initial fund is considered, analyze the contribution and fund solvency risk in a defined benefit pension scheme; analyze how the investment interest rate and account interest rate affect pension fund risk and the spread period of supplemental liability.In the cumulative process of pension funds, there is neither prodigious shortage of pension fund nor so much surplus that the contemporary people have a heavy burden. It is the best to keep pension fund a relatively steady state. The thesis also discusses the direction and the degree of deviation of the actual fund with respect to the expected fund under the case that the spread period of supplemental liability changes. It is significant to change the present pension fund model into the funded model. Generally, it is a long time for the pension funded, it is more significant to study the total risk than to study a certain time risk of the pension fund.