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: |
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.:
- 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.
- 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.
- 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," Working Papers 07-27, Utrecht School of Economics.
- 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.
- 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.
- 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.
- Alexander Kling & Andreas Richter & Jochen Ru�, 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.
- 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.
- 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.
- Chen, An, 2011. "A risk-based model for the valuation of pension insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 401-409.
- 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.
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 references are entirely missing, you can add them using this form.