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Pension Risk Management in the Enterprise Risk Management Framework

机译：企业风险管理框架中的养老金风险管理

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摘要

This article presents an enterprise risk management (ERM) model for a firm that is composed of a portfolio of capital investment projects and a defined benefit (DB) plan for its workforce. The firm faces the project, operational, and hazard risks from its investment projects as well as the financial and longevity risks from its DB plan. The firm maximizes its capital market value net of pension contributions subject to constraints that control project, operational, hazard, financial, and longevity risks as well as an overall risk. The analysis illustrates the importance of integrating pension risk into the firm's ERM program by comparing firm value with and without managing pension risk with other risks in an ERM program. An ERM program considering pension effect integrates the risks of the operation and pension divisions and, thus, achieves diversification benefits between and within these two divisions. We also show how pension hedging strategies can impact the firm's net value under the ERM framework. While the existing literature suggests that a longevity swap is less expensive than a pension buy-out because the latter is more capital intensive, this analysis shows that the buy-out is more effective in increasing firm value.
机译：本文介绍了一个公司的企业风险管理（ERM）模型，该模型由资本投资项目的投资组合和为其员工确定的收益（DB）计划组成。该公司面临其投资项目中的项目，运营和危害风险，以及DB计划中的财务和寿命风险。该公司在控制项目，运营，危险，财务和寿命风险以及整体风险的约束条件下，将其养老金缴款净额的资本市场价值最大化。该分析通过将企业价值与是否将退休金风险与企业风险管理计划中的其他风险进行比较，说明了将退休金风险纳入公司的企业风险管理计划的重要性。考虑退休金影响的企业风险管理计划整合了运营部门和退休金部门的风险，因此在这两个部门之间以及内部实现了多元化收益。我们还展示了在ERM框架下，养老金对冲策略如何影响公司的净值。尽管现有文献表明，长寿掉期的费用比养老金买断便宜，因为后者要花更多的资本，但该分析表明，养老金买断在增加公司价值方面更为有效。

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  • 来源
    《The journal of risk and insurance》 |2017年第s1期|345-365|共21页
  • 作者

    Lin Yijia; MacMinn Richard D.; Tian Ruilin; Yu Jifeng;

  • 作者单位

    Univ Nebraska, Dept Finance, POB 880488, Lincoln, NE 68588 USA;

    Natl Chengchi Univ, Taipei, Taiwan;

    North Dakota State Univ, Coll Business, Dept Accounting Finance & Informat Syst, Fargo, ND 58105 USA;

    Univ Nebraska, Coll Business Adm, Dept Management, Lincoln, NE 68588 USA;

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  • 正文语种 eng
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