A Risk-based premium : what does it mean for DB plan sponsors?

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<dc:creator>Chen, An</dc:creator>
<dc:date>2014-01-13</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/146187.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Risk-based premium : what does it mean for DB plan sponsors?</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 13/01/2014 Volumen 54 Número 1 - enero 2014 </dc:relation>
</rdf:Description>
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