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首页> 外文期刊>Journal of pension economics and finance >Joint risk of DB pension underfunding and sponsor termination: incorporating option-based projections and valuations into PIMS
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Joint risk of DB pension underfunding and sponsor termination: incorporating option-based projections and valuations into PIMS

机译：DB养老金资金不足和终止保荐人的共同风险：将基于期权的预测和估值纳入PIMS

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摘要

When a private pension plan sponsor with an underfunded plan becomes insolvent, the difference between the value of the plan's assets and its termination liabilities represents a liability for the Pension Benefit Guaranty Corporation (PBGC). Hence, accurately modeling the joint statistical distribution over time of defined benefit pension underfunding and sponsor terminations is critical for estimating PBGC's prospective cash flows and evaluating its financial position. It appears that the current Pension Insurance Modeling System (PIMS) approach to modeling risk does a reasonable job of capturing its statistical properties effects on PBGC cash flows, although some of the aspects might be improved, and metrics expanded. The present paper outlines, how an option-based approach to modeling the joint distribution of defaults and underfunding in PIMS might be implemented, while preserving the strengths of the current model. Moving to an option-based approach would allow PIMS to be used to estimate the fair values of future liabilities. Such an approach could have a significant effect on the perceived financial position of PBGC.
机译：当私人养老金计划发起人的资金不足计划破产时，该计划资产的价值与其终止负债之间的差额代表养老金保障公司（PBGC）的负债。因此，准确估算确定的养老金资金不足和保荐人终止期间的联合统计分布，对于估算PBGC的预期现金流量和评估其财务状况至关重要。看起来，当前的养老保险建模系统（PIMS）建模风险的方法在捕获其对PBGC现金流量的统计属性影响方面做得很合理，尽管可能会改进某些方面并且会扩展指标。本文概述了如何在保留当前模型的优势的同时，实施基于期权的方法来对PIMS中的违约和资金不足的联合分布进行建模。转向基于期权的方法将允许使用PIMS来估计未来负债的公允价值。这种方法可能会对PBGC的财务状况产生重大影响。

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