Valuation of risk-based premium of DB pension plan with terminations

DOI10.1016/j.insmatheco.2019.01.012zbMath1411.91310OpenAlexW2912176275MaRDI QIDQ2415963

Zhixin Yang, Yang Shen, Wei Wang, Lin-Yi Qian

Publication date: 23 May 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.01.012

zbMATH Keywords

defined benefit pension planPBGCrisk-based premiumdistress terminationpremature termination

Mathematics Subject Classification ID

Related Items (2)

Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Risk-based premium evaluation with jump diffusion process for PBGC

Cites Work

• A risk-based model for the valuation of pension insurance
• A risk-based premium: what does it nean for DB plan sponsors?
• On the first passage problem for correlated Brownian motion
• Optimal supervisory rules for pension funds under diverse pension security mechanisms
• First-passage times of two-dimensional Brownian motion
• Hitting Lines with Two-Dimensional Brownian Motion

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