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Valuation of risk-based premium of DB pension plan with terminations

  • Published:2019-05 Issue: Volume:86 Page:51-63
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Qian Linyi,Shen Yang,Wang Wei,Yang Zhixin

Funder

Zhejiang Provincial Natural Science Foundation of China

National Natural Science Foundation of China

Shanghai Education Development Foundation

Shanghai Municipal Education Commission

Natural Sciences and Engineering Research Council of Canada

National Social Science Foundation Key Program

Ministry of Education of China

111 Project

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference22 articles.

1. On asset and liability matching and federal deposit and pension insurance;Bodie;Fed. Reserve Bank Saint Louis,2006

2. Pension benefit security: A comparison of solvency requirements, a pension guarantee fund and sponsor support;Broeders;J. Risk Insur.,2013

3. Guaranteed trouble: The economic effects of the pension benefit guaranty corporation;Brown;J. Econ. Perspect.,2008

4. A risk-based model for the valuation of pension;Chen;Insurance Math. Econom.,2011

5. Optimal supervisory rules for pension funds under diverse pension security mechanisms;Chen;Eur. Actuar. J.,2015

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Do pension buyouts help or hurt employees (retirees)?;Journal of Risk and Insurance;2023-03-08

2. Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk;Journal of Computational and Applied Mathematics;2021-08

3. Risk-based premium evaluation with jump diffusion process for PBGC;Communications in Statistics - Theory and Methods;2021-06-15

4. Premium Valuation of the Pension Benefit Guaranty Corporation with Regime Switching;Mathematical Problems in Engineering;2021-05-24
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