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This paper examines the relationship between U.S. corporations' management of their pension plans and their management of the more familiar aspects of corporate financial structure. The chief conclusion, on the basis of data for 7,828 pension plans sponsored by 1,836 companies and their...
Persistent link: https://www.econbiz.de/10012478148
This paper examines the relationship between U.S. corporations' management of their pension plans and their management of the more familiar aspects of corporate financial structure. The chief conclusion, on the basis of data for 7,828 pension plans sponsored by 1,836 companies and their...
Persistent link: https://www.econbiz.de/10013247286
Persistent link: https://www.econbiz.de/10015359797
Persistent link: https://www.econbiz.de/10015450291
Persistent link: https://www.econbiz.de/10012705373
We use a modified corporate risk management framework (e.g., Froot and Stein, 1998) to understand how inefficient risk sharing between firms and employees leads to aggressive investment policies of defined corporate pensions as well as their declining popularity. For reasonable parameter values,...
Persistent link: https://www.econbiz.de/10012850993
We derive the optimal corporate pension portfolio policy in a consolidated setting in the presence of PBGC insurance. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension portfolio. As in Rauh (2009), the risk-shifting and...
Persistent link: https://www.econbiz.de/10012928577
This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...
Persistent link: https://www.econbiz.de/10012826839
Defined-benefit (DB) pension funds, often underfunded, rely on the legal obligation of their sponsor to secure pension rights for individuals. The sponsor guarantee being risky, its riskiness must be hedged to secure the pension promises. This appendix details the implementation of the extended...
Persistent link: https://www.econbiz.de/10013045782
Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies...
Persistent link: https://www.econbiz.de/10012508594