A Risk-based model for the valuation of pension insurance

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<rdf:Description>
<dc:creator>Chen, A.</dc:creator>
<dc:date>2011-11-01</dc:date>
<dc:description xml:lang="es">Sumario: In the US, defined benefit plans are insured by the Pension Benefit Guaranry Corporation (PBGC). Taking account of the fact that the PBGC covers only the residual deficits of the pension fund the sponsoring company is unable ro cover and that the plans can be prematurely terminated, we considera model that accounts for the joint dynamics of the pension fund's and sponsoring firm 's assets in order to effectively determine the risk-based pension premium for the insurance provided by the PBGC. We obtain a closed form pricing formula for this risk-based premium. lts magnitude depends highly on the investment portfolio of the pension fund and of the sponsoring company as well as the co rrelation between these two portfolios. </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/135154.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Planes de pensiones</dc:subject>
<dc:subject xml:lang="es">Beneficios</dc:subject>
<dc:subject xml:lang="es">Prima de riesgo</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelos de valoración económica</dc:subject>
<dc:subject xml:lang="es">Estados Unidos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Risk-based model for the valuation of pension insurance</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/11/2011 Tomo 49 Número 3  - 2011 , p. 401-409</dc:relation>
<dc:coverage xml:lang="es">Estados Unidos</dc:coverage>
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