Pesquisa de referências

A Risk-based model for the valuation of pension insurance

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20110070533
003  MAP
005  20111214122759.0
008  111202e20111101esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20110031145‎$a‎Chen, A.
24502‎$a‎A Risk-based model for the valuation of pension insurance‎$c‎A. Chen
520  ‎$a‎In 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.
650 1‎$0‎MAPA20080592455‎$a‎Planes de pensiones
650 1‎$0‎MAPA20080553357‎$a‎Beneficios
650 1‎$0‎MAPA20080573386‎$a‎Prima de riesgo
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080627294‎$a‎Modelos de valoración económica
651 1‎$0‎MAPA20080638337‎$a‎Estados Unidos
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/11/2011 Tomo 49 Número 3 - 2011 , p. 401-409