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On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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008  180712e20180501bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20090029927‎$a‎Avanzi, Benjamin
24510‎$a‎On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements‎$c‎Benjamin Avanzi, Lars Frederik Brandt Henriksen, Bernard Wong
520  ‎$a‎We consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber and Shiu, 2003). The Company that is considered is allowed to distribute excess profits (traditionally referred to as dividends in the literature), but is regulated and is subject to particular regulatory (solvency) constraints. Because of the bivariate nature of the surplus formulation, such distributions of excess profits can take two alternative forms. These can originate from a reduction of assets (and hence a payment to owners), but also from an increase of liabilities (when these represent the wealth of owners, such as in pension funds). The latter is particularly relevant if distributions of assets do not make sense because of the context, such as in regulated pension funds where assets are locked until retirement. In this paper, we extend the model of Gerber and Shiu (2003) and consider recovery requirements for the distribution of excess funds. Such recovery requirements are an extension of the plain vanilla solvency constraints considered in Paulsen (2003), and require funds to reach a higher level of funding than the solvency level (if and after it is triggered) before excess funds can be distributed again. We obtain closed-form expressions for the expected present value of distributions (asset decrements or liability increments) when a distribution barrier is used.
650 4‎$0‎MAPA20080591021‎$a‎Fondos de pensiones
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080552701‎$a‎Solvencia
650 4‎$0‎MAPA20080554330‎$a‎Excedentes
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080592042‎$a‎Modelos matemáticos
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20090041738‎$a‎Reparto de dividendos
7001 ‎$0‎MAPA20180010606‎$a‎Brandt Henriksen, Lars Frederik
7001 ‎$0‎MAPA20160009811‎$a‎Wong, Bernard
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 647-672