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• W3124362880 abstract "To identify an appropriate pension de-risking method, this paper proposes an optimization model that minimizes the expected total pension cost subject to a conditional value at risk (CVaR) constraint on pension funding level. Using this model, we examine three pension hedging strategies, i.e., longevity hedge, buy-in and buy-out; each strategy is examined with hedging costs that include a risk premium, search and information cost, underfunding cost, and counter-party risk cost. The numerical examples demonstrate that these hedging costs have a significant impact on the hedging decision. The hedge ratio (total pension cost) decreases (increases) with the transaction cost, the counter-party default probability and the underfunding ratio. In addition, the buy-out underperforms the longevity hedge and the buy-in for underfunded plans and the longevity hedge is less sensitive to the default risk than the buy-in." @default.
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• W3124362880 date "2015-07-01" @default.
• W3124362880 modified "2023-10-14" @default.
• W3124362880 title "De-risking defined benefit plans" @default.
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• W3124362880 doi "https://doi.org/10.1016/j.insmatheco.2015.03.028" @default.
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