کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076774 1477221 2014 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A risk-based premium: What does it mean for DB plan sponsors?
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A risk-based premium: What does it mean for DB plan sponsors?
چکیده انگلیسی
This paper develops a risked-based premium calculation model for the insurance provided by the Pension Benefit Guaranty Corporation (PBGC). It takes account of the pension fund's and the plan sponsor's investment policy and extends Chen (2011) by considering distress termination triggered by the sponsor's underfunding. We empirically illustrate our theoretical pricing formula for the 100 biggest American DB sponsoring companies. Our result clearly casts doubt on the current practice where about 70% of the PBGC premiums charged are flat. We observe that the funding ratio and the leverage are the main risk factors in a risk-based premium calculation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 54, January 2014, Pages 1-11
نویسندگان
, ,