题目：Valuation of Risk-Based Premium of DB Pension Plan with Terminations
报告人：钱林义教授
时间：2019年10月11日（周五）上午9：30 开始
地点：博识楼434会议室
报告人简介：钱林义，男，华东师范大学经济与管理学部统计学院教授，博士生导师，中国准精算师，上海市曙光学者。研究方向为保险精算，金融数学。在Bernoulli、Insurance: Mathematics and Economics等国际知名期刊发表论文20多篇，专著1本，主持国家级课题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课题、一项国家自然科学基金重点课题。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。
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.