کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076314 | 1477212 | 2015 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
De-risking defined benefit plans
ترجمه فارسی عنوان
برنامه های مزایای تعریف شده خطرناک
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کلمات کلیدی
طرح بازنشستگی تعریف شده، حجاب طول عمر، خرید در، خرید هزینه هزینه،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
To identify an appropriate pension de-risking method, this paper proposes an optimization model that minimizes the expected total pension cost subject to a conditional value at risk (CVaR) constraint on pension funding level. Using this model, we examine three pension hedging strategies, i.e., longevity hedge, buy-in and buy-out; each strategy is examined with hedging costs that include a risk premium, search and information cost, underfunding cost, and counter-party risk cost. The numerical examples demonstrate that these hedging costs have a significant impact on the hedging decision. The hedge ratio (total pension cost) decreases (increases) with the transaction cost, the counter-party default probability and the underfunding ratio. In addition, the buy-out underperforms the longevity hedge and the buy-in for underfunded plans and the longevity hedge is less sensitive to the default risk than the buy-in.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 63, July 2015, Pages 52-65
Journal: Insurance: Mathematics and Economics - Volume 63, July 2015, Pages 52-65
نویسندگان
Yijia Lin, Richard D. MacMinn, Ruilin Tian,