An Chen, 19.11.2009
WS 2009/2010
Donnerstag, 19. November, 15:00 - 17:00, Raum 062 (Lehrstuhl BWL III)
An Chen (University of Bonn)
Topic: Pension Regulation and the Market Value of Pension Liabilities --
A Contingent Claims Analysis using Parisian Options
(joint with Dirk Broeders)
Abstract: We analyze the market-consistent valuation of pension
liabilities in a contingent claim framework whereby a knock-out barrier
feature is applied to capture early regulatory closure of a pension
plan. We investigate two cases which we call "immediate closure
procedure'' and "delayed closure procedure''. In an immediate closure
procedure, when the assets value hits the regulatory boundary, the
pension plan is terminated immediately. Whereas in a delayed closure
procedure, a grace period is given to the pension fund for
reorganization and recovery before premature closure is executed. The
framework is then used to construct fair pension deals. Furthermore we
provide rules for deriving the optimal recovery period in pension
regulation using utility analysis and interconnect the recovery period
to the regulatory liquidation probability.
