A risk-based premium: what does it nean for DB plan sponsors?

DOI10.1016/J.INSMATHECO.2013.10.011MaRDI QIDQ2015469zbMATH OpenOpenAlexFDO

Authors An Chen, Filip Uzelac

Publication date 23 June 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.10.011

zbMATH Keywords

correlationdefined benefit planPBGCsponsor supportdistress termination

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• A risk-based model for the valuation of pension insurance
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• Premium valuation of the pension benefit guaranty corporation with regime switching
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Cites work

• A risk-based model for the valuation of pension insurance

Cited in

(6)

• Evaluating financial risk in the medicare prospective payment system
• A new defined benefit pension risk measurement methodology
• Premium valuation of the pension benefit guaranty corporation with regime switching
• Risk-based premium evaluation with jump diffusion process for PBGC
• Valuation of risk-based premium of DB pension plan with terminations
• Why Changes in PBGC and FDIC Premiums Should Not Fully Reflect Changes in Underlying Risk (With Some Application to Long-Term Private Insurance Contracts)

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