报告题目：Valuation of Risk-Based Premium of DB Pension Plan with Terminations

报告人：钱林义 教授

报告摘要：This paper concentrates on the premium valuation of pension insurance provided by the Pension Benefit Guaranty Corporation (PBGC). Such an insurance instrument allows a defined benefit pension sponsor to receive protection from the PBGC in case that the pension fund fails to make pension payments as promised or that the plan sponsor does not stay in business any more. In practice, both pension fund and sponsor assets play critical role in terms of pension payment, and it is not reasonable to isolate the risk of distress termination of sponsor assets from that of premature termination of pension fund. Different from previous works in which premature termination of pension fund and distress termination of sponsor assets are analyzed separately, our model examines the situation in which retirees suffer the two risks of termination at the same time. We evaluate the risk-based fair premium under the framework that pension fund and sponsor assets are correlated and subject to the risk of involuntary termination and distress termination, respectively, and we manage to obtain closed-form pricing formulas. Our model is more practical because of realistic design of termination schemes. Numerical simulations are also carried out to demonstrate our findings. Our numerical experiments validate that variable rate premium is a more appropriate channel for the PBGC to implement.

报告时间：11月14号下午2:10

报告地点：必赢电子游戏网站213会议室

报告人简介：钱林义，男，华东师范大学必赢电子游戏网站教授，博士生导师，中国准精算师，中国工业与应用数学学会金融数学与工程和精算保险分会精算保险青年专业委员会主任，上海市曙光学者。研究方向为概率统计，保险精算。发表论文40余篇，其中在Bernoulli 、Insurance Mathematics and Economics 等国际刊物发表论文20多篇，专著1本，主持国家课题2项，省部级课题6项，作为子课题负责人参与一项国家社科重大项目。曾获上海瑞士再保险精算科学奖三等奖、第十一届全国统计科研优秀成果奖二等奖、上海市优秀博士论文奖等奖项。