The funding for a Defined Benefit (DB) pension plan based on the fair valuation of the plan's insolvency risk

References

• Aitken WH 1996 A Problem-Solving Approach to Pension Funding and Valuation 2nd edn ACTEX Publications Winsted CT
   Google Scholar
• Battocchio , P and Menoncin , F . 2004 . Optimal pension management in a stochastic framework . Insurance: Mathematics and Economics , 34 : 79 – 95 .
   Web of Science ®Google Scholar
• Bodie , Z and Gold , J . 2003 . Saving the PBGC: it need never face another crisis . Pension & Investments , 31 : 14 – 15 .
   Google Scholar
• Boyce , S and Ippolito , RA . 2002 . The cost of pension insurance . Journal of Risk and Insurance , 69 : 121 – 70 .
   Google Scholar
• Cairns , AJG and Parker , G . 1997 . Stochastic pension fund modelling . Insurance: Mathematics and Economics , 21 : 43 – 79 .
   Web of Science ®Google Scholar
• Chan , KC , Karolyi , GA , Longstaff , FA and Sanders , AB . 1992 . An empirical comparison of alternative models of the short-term rates . Journal of Finance , 47 : 1209 – 27 .
   Web of Science ®Google Scholar
• Chang , S-CB . 1999 . Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system . Insurance: Mathematics and Economics, (The Netherlands) , 24 : 187 – 99 .
   Web of Science ®Google Scholar
• Chang , S-CB and Cheng , H-Y . 2002 . Pension valuation under uncertainty: implementation of a stochastic and dynamic monitoring system . Journal of Risk and Insurance , 69 : 171 – 92 .
   Google Scholar
• Constantinides , GM . 1978 . Market risk adjustment in project valuation . Journal of Finance , 33 : 603 – 16 .
   Web of Science ®Google Scholar
• Cox , JC , Ingersoll , JE and Ross , SA . 1985a . An intertemporal general equilibrium model of asset prices . Econometrica , 53 : 363 – 84 .
   Web of Science ®Google Scholar
• Cox , JC , Ingersoll , JE and Ross , SA . 1985b . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 407 .
   Web of Science ®Google Scholar
• D’Arcy , SP , Dulebohn , JH and Oh , P . 1999 . Optimal funding of state employee pension systems . Journal of Risk and Insurance , 66 : 345 – 80 .
   Web of Science ®Google Scholar
• Haberman , S . 1994 . Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme . Insurance: Mathematics and Economics , 14 : 219 – 40 .
   Web of Science ®Google Scholar
• Harrison , J and Kreps , D . 1979 . Martingales and arbitrage in multiperiod securities markets . Journal of Economic Theory , 20 : 381 – 408 .
   Web of Science ®Google Scholar
• Hsieh , S-J , Chen , AH and Ferris , KR . 1994 . The valuation of PBGC insurance premiums using an option pricing model . Journal of Financial and Quantitative Analysis , 29 : 89 – 99 .
   Web of Science ®Google Scholar
• Hull J 1997 Options, Futures and Other Derivative Securities 3rd edn Prentice-Hall Englewood Cliffs NJ
   Google Scholar
• Mandl , P and Mazurova , L . 1996 . Harmonic analysis of pension funding methods . Insurance: Mathematics and Economics , 17 : 203 – 14 .
   Google Scholar
• Marcus A 1987 Corporate pension policy and the value of PBGC insurance Issues in Pension Economics (Eds) Z. Bodie, J. Shoven and D. Wise University of Chicago Press Chicago
   Google Scholar
• Pennacchi , GG and Lewis , CM . 1994 . The value of pension benefit guaranty corporation insurance . Journal of Money, Credit, and Banking , 26 : 735 – 56 .
   Web of Science ®Google Scholar
• Sharpe , WF . 1976 . Corporate pension fund policy . Journal of Financial Economics , 3 : 183 – 93 .
   Web of Science ®Google Scholar
• Sherris , M . 1995 . The valuation of option features in retirement benefits . Journal of Risk and Insurance , 62 : 509 – 34 .
   Web of Science ®Google Scholar
• Shimko , DC . 1989 . The equilibrium valuation of risky discrete cash flows in continuous time . Journal of Finance , 44 : 1373 – 83 .
   Google Scholar
• Shimko , DC . 1992 . The valuation of multiple claim insurance contracts . Journal of Financial and Quantitative Analysis , 27 : 229 – 46 .
   Web of Science ®Google Scholar
• Treynor , J . 1977 . The principles of corporate pension finance . Journal of Finance , 32 : 627 – 39 .
   Web of Science ®Google Scholar