MANAGING FINANCIALLY DISTRESSED PENSION PLANSINTHE INTERESTOF BENEFICIARIES

Abstract

This is the accepted version of the paper.This version of the publication may differ from the final published version. Permanent repository link MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIESJoachim Inkmann David Blake Zhen Shi January 2015 ABSTRACTThe beneficiaries of a corporate defined benefit pension plan in financial distress care about the security of their promised pensions. We propose to value the pension obligations of a corporate defined benefit plan using a discount rate which reflects the funding ability of the pension plan and its sponsoring company, and therefore depends, in part, on the chosen asset allocation. An optimal valuation is determined by a strategic asset allocation which is optimal given the risk premium a representative pension plan member demands for being exposed to funding risk. We provide an empirical application using the General Motors pension plan.

Life-cycle patterns in the design and adoption of default funds in DC pension plans

“…5 Similar results were obtained by Alestalo and Puttonen (2006) and Gerber and Weber (2007) for Finnish and Swiss DB pension plans, respectively. 6 See Sharpe and Tint (1990), Hoevenaars et al (2008), Van Binsbergen and Brandt (2009), and Inkmann et al (2014). The liability of a DB pension plan depends on the age structure of plan members as well, which determines the maturity of the pension liability.…”

“…(2008), Van Binsbergen and Brandt (2009), and Inkmann et al . (2014). The liability of a DB pension plan depends on the age structure of plan members as well, which determines the maturity of the pension liability.…”

Asset–liability models and the Chinese basic pension fund

“…DB schemes must meet their obligations to present and future pensioners in full, and so the liabilities are included in the extended version of the traditional portfolio model. Assuming that the value of the actuarial liabilities is unaffected by the fund's asset allocation (Inkmann et al, 2017), the ALM can be stated in mean-variance terms with the addition of the covariances between the liabilities and asset classes, and the rates of change in the value of the liabilities.…”

Life-Cycle Patterns in the Design and Adoption of Default Funds in DC Pension Plans

“…5 Similar results were obtained by Alestalo and Puttonen (2006) and Gerber and Weber (2007) for Finnish and Swiss DB pension plans, respectively. 6 See Sharpe and Tint (1990), Hoevenaars et al (2008), Van Binsbergen and Brandt (2009), and Inkmann et al (2014). The liability of a DB pension plan depends on the age structure of plan members as well, which determines the maturity of the pension liability.…”