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Designing a Pension Funding Derivative
Designing a Pension Funding Derivative Abstract: Interest rate changes and volatile equity returns have contributed to significant funding and expense volatility for defined benefit plans in ...Description: Abstract: Interest rate changes and volatile equity returns have contributed to significant funding and expense volatility for defined benefit plans in recent years. This paper will describe the design of an option contract with payouts that are tied to the combined impact of interest rates and investment returns on the funding level of a defined benefit pension plan. Current derivatives used by plan sponsors can limit exposure to one of these risks; however, a derivative that combines these risks may provide more targeted protection to a plan sponsor at lower cost. This paper discusses several considerations in designing such a derivative. It will also briefly discuss pricing of the option. Finally, the difference in potential outcomes between plan funding with and without option ownership will be demonstrated. As an outcome of the design work, a new way to visualize pension risk that may be useful in sponsor accounting disclosures will be shown.
Hide- Authors: Allen F Jacobson
- Date: Apr 2013
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Pensions & Retirement>Pension finance
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Rationalizing the Security and Ultimate Delivery of Promised Private Retirement Plan Benefits: The Missing Asset
Rationalizing the Security and Ultimate Delivery of Promised Private Retirement Plan Benefits: The Missing Asset The abstract for the paper Rationalizing the Security and Ultimate Delivery of ...Description: The abstract for the paper Rationalizing the Security and Ultimate Delivery of Promised Private Retirement Plan Benefits: The Missing Asset
Hide- Authors: Leslie Lohmann
- Date: Jul 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Pensions & Retirement>Pension finance