مقررات بازنشستگی و ارزش بازار بدهی بازنشستگی: A تجزیه و تحلیل مطالبات موکول به آینده با استفاده از گزینه های پاریس

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.

Since Sharpe’s (1976) seminal contribution, defined benefit (DB) pension plans are often viewed as a combination of option contracts. The beneficiaries of such a pension plan are entitled to a prespecified amount related to years of service and salary. In some cases the beneficiaries have a share in the pension fund’s surplus as well. This surplus is to some extent also accruable to the sponsor (often via contribution holidays). Conversely, the sponsor might have the obligation to increase contributions to the pension fund in case the funding level is inadequate. All these claims can be considered as options on the pension fund’s assets. Unlike most other financial contracts, pension plans have a peculiar legal status, i.e. they are in most cases not entirely legally enforceable.

The present paper considers the interaction of pension fund regulation and pension fund investment policy on the market-consistent valuation of defined benefit pension liabilities. Typically, premature closure of a DB plan is triggered by a low funding ratio, e.g. if this ratio of assets to liabilities hits the applicable regulatory minimum. We assume that early termination leads to an unwinding of the pension scheme and the assets are transferred to the beneficiaries. We distinguish between an immediate and a delayed closure procedure. In the former case, the moment the regulatory boundary is reached, the pension contract is immediately terminated. Whereas in the latter case, a grace period is given for reorganization and recovery. For both procedures, we derive closed-form formulae for the contracts which enable us to perform a fair contract analysis. A pension deal is economically fair if the initial contribution made by the participants to the pension fund equals the market-consistent value of the claim they get in return