A utility-based comparison of pension funds and life insurance companies under regulatory constraints

被引:12
作者
Broeders, Dirk [2 ]
Chen, An [1 ]
Koos, Birgit [1 ]
机构
[1] Univ Bonn, Dept Econ, D-53113 Bonn, Germany
[2] DNB, Supervisory Policy Div, Strategy Dept, NL-1000 AB Amsterdam, Netherlands
关键词
Pension plans; Annuities; Barrier options; Contingent claim approach; Certainty equivalents; MARKET VALUE; CONDITIONAL INDEXATION; SURPLUS DISTRIBUTION; WITH-PROFIT; LIABILITIES; RISK; GUARANTEES; VALUATION; POLICIES; OPTION;
D O I
10.1016/j.insmatheco.2011.01.011
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper compares two different types of annuity providers, i.e. defined benefit pension funds and life insurance companies. One of the key differences is that the residual risk in pension funds is collectively borne by the beneficiaries and the sponsor's shareholders while in the case of life insurers it is borne by the external shareholders. First, this paper employs a contingent claim approach to evaluate the risk return tradeoff for annuitants. For that, we take into account the differences in contract specifications and in regulatory regimes. Second, a welfare analysis is conducted to examine whether a consumer with power utility experiences utility gains if she chooses a defined benefit plan or a life annuity contract over a defined contribution plan. We demonstrate that regulation can be designed to support a level playing field amongst different financial institutions. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码:1 / 10
页数:10
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