The funding for a Defined Benefit (DB) pension plan based on the fair valuation of the plan's insolvency risk

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Title:	The funding for a Defined Benefit (DB) pension plan based on the fair valuation of the plan's insolvency risk
Authors:	Chen, Chao-liang
Contributors:	淡江大學經濟學系
Date:	2005-08-01
Issue Date:	2009-11-30 18:36:22 (UTC+8)
Publisher:	Taylor & Francis
Abstract:	This study provides a contingent claims valuation approach model to value a sponsor's claim on a salary-related, defined benefit (DB) pension plan. The model is further developed to numerically estimate a suggested optimal contribution cost that allows the sponsor to fairly bear the risk of the plan's insolvency. The results demonstrate that the traditional actuarial valuation underestimates the cost of pension benefits, and that the normal contribution cost is not enough for the sponsor to fairly charge the value of bearing the plan's insolvency.
Relation:	Applied Economics 37(14), pp.1623-1633
DOI:	10.1080/00036840500215279
Appears in Collections:	[Graduate Institute & Department of Economics] Journal Article

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