Utility-equivalence of pension security mechanisms
Adequate funding of occupational pension plans is key to benefit security. Across countries different methods of securing funding exist: solvency requirements, a pension guarantee fund, and sponsor support. The key goal of this paper is to investigate the welfare implications to the beneficiary in a hybrid pension scheme. We show that the three security mechanisms can be made utility-equivalent by adjusting the pension contract specifications. The utility-equivalence approach could serve to strengthen the \holistic balance sheet" approach as advised by EIOPA. It enables regulators to compare various pension systems across Europe in a single framework from a utility perspective instead of a valuation perspective.
|Date of creation:||Jan 2014|
|Date of revision:|
|Contact details of provider:|| Postal: Postbus 98, 1000 AB Amsterdam|
Web page: http://www.dnb.nl/en/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Laura Ballotta & Steven Haberman & Nan Wang, 2006. "Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 97-121.
- J.A. Bikker & D.W.G.A Broeders & J. de Dreu, 2007.
"Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing,"
07-27, Utrecht School of Economics.
- Jacob A. Bikker & Dirk W.G.A. Broeders & Dirk Jan de Dreu, 2010. "Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing?," International Journal of Central Banking, International Journal of Central Banking, vol. 6(2), pages 53-79, June.
- Jacob A. Bikker & Dirk W.G.A. Broeders & Jan de Dreu, 2007. "Stock market performance and pension fund investment policy: rebalancing, free float, or market timing?," DNB Working Papers 154, Netherlands Central Bank, Research Department.
- Jacob A. Bikker & Laura Spierdijk & Paul Finnie, 2007. "Stock market performance and pension fund investment policy: rebalancing, free float, or market timing?," DNB Working Papers 156, Netherlands Central Bank, Research Department.
- Dirk Broeders & An Chen, 2013.
"Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support,"
Journal of Risk & Insurance,
The American Risk and Insurance Association, vol. 80(2), pages 239-272, 06.
- Dirk Broeders & An Chen, 2010. "Pension benefit security: a comparison of solvency requirements, a pension guarantee fund and sponsor support," DNB Working Papers 268, Netherlands Central Bank, Research Department.
- Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.
- Dirk Broeders & An Chen & David Rijsbergen, 2011.
"Valuation of Liabilities in Hybrid Pension Plans,"
DNB Working Papers
326, Netherlands Central Bank, Research Department.
- Grosen, Anders & Løchte Jørgensen, Peter, 2001. "Life Insurance Liabilities at Market Value," Finance Working Papers 01-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Alexander Kling & Andreas Richter & Jochen Ruß, 2007. "The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(3), pages 571-589.
- Chen, An, 2011. "A risk-based model for the valuation of pension insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 401-409.
When requesting a correction, please mention this item's handle: RePEc:dnb:dnbwpp:414. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rob Vet)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.