nach oben

European Actuarial Journal

Erschienen in:

01.07.2015 | Original Research Paper

Optimal supervisory rules for pension funds under diverse pension security mechanisms

verfasst von: An Chen, Simona Clever

Erschienen in: European Actuarial Journal | Ausgabe 1/2015

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

The present paper analyzes optimal supervisory rules for pension funds taking account of diverse pension security mechanisms: support provided by either a plan sponsor, a pension guarantee fund or by both. Assuming that the regulatory rule is either to control the shortfall probability or expected shortfall, we show that both the security mechanisms and risk measures used by the regulators have a substantial impact on the optimal regulation and hence need to be considered adequately when setting regulatory rules.

Vorheriger Artikel Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees

Nächster Artikel Best-estimate claims reserves in incomplete markets

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Nur mit Berechtigung zugänglich

Frequently, the sponsoring company has also a claim on the pension fund’s assets. The payoff of the sponsor can be determined residually: $\max \{X_T-\Phi _{PF}(T),0\}$.

In practice, the regulatory boundary is often at or close to 1. However, if the funding ratio is below this level this will not automatically entail liquidation of the pension fund, as a grace period is often allowed for recovery. Therefore, the effective barrier level is lower. See Broeders and Chen [2] for a formal analysis of the impact of recovery periods.

We hereby implicitly assume continuous monitoring and prompt corrective action by the regulator.

A good example here from the USA is Delphi where the retirees typically received pension payments ranging from $ 3,000 to 4,000 a month, but a 55-year old retiree could receive at most $ 2025 from the Pension Benefit Guaranty Corporation.

The order of the security mechanisms is not relevant for the results of the following analysis.

Here $\eta \in [0,1)$.

Bikker JA, Broeders DWGA, de Dreu J (2010) Stock market performance and pension fund investment policy: rebalancing, free float, or market timing? Int J Cent Bank 6(2):53–79

Broeders DWGA, Chen A (2010) Pension regulation and the market value of pension liabilities—a contingent claims analysis using Parisian options. J Bank Financ 34(6):1201–1214CrossRef

Broeders DWGA, Chen A (2013) Pension benefit security: a comparison of solvency requirements, a pension guarantee fund and sponsor support. J Risk Insur 80(2):239–272CrossRef

Broeders DWGA, Pröpper M (2010) Risk based supervision of pension funds in the Netherlands. Pension fund risk management: financial and actuarial modeling. Chapman Hall, London

Cummins J (1988) Risk-based premiums for insurance guarantee funds. J Financ 43(4):823–839MathSciNetCrossRef

Duan JC, Yu MT (2005) Fair insurance guarantee premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk. J Bank Financ 29(10):2435–2454CrossRef

Grosen A, Jørgensen PL (2002) The bonus-crediting mechanism of Danish pension and life insurance companies: an empirical analysis. J Pension Econ Financ 1(3):249–268CrossRef

Grosen A, Jørgensen PL (2002) Life insurance liabilities at market values: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. J Risk Insur 69(1):63–91CrossRef

Karatzas I, Shreve SE (1991) Brownian motions and stochastic calculus, 2nd edn. Springer, New York

10.

Rymaszewski P, Schmeisser H, Wagner J (2012) Under what conditions is an insurance guaranty fund beneficial for policyholders? J Risk Insur 79(3):785–815CrossRef

11.

Sharpe WF (1976) Corporate pension funding policy. J Financ Econ 3(3):183–193CrossRef

Titel: Optimal supervisory rules for pension funds under diverse pension security mechanisms
verfasst von: An Chen
Simona Clever
Publikationsdatum: 01.07.2015
Verlag: Springer Berlin Heidelberg
Erschienen in: European Actuarial Journal / Ausgabe 1/2015
Print ISSN: 2190-9733
Elektronische ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-015-0103-x

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Weitere Artikel der Ausgabe 1/2015

Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?

The impact of covariates on a bonus–malus system: an application of Taylor’s model

Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance

Modelling parameter uncertainty for risk capital calculation

Best-estimate claims reserves in incomplete markets

Catastrophe risk bonds with applications to earthquakes