企業年金運営の潜在コスト算出

概要

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Corporate pension funding policy can be considered as put options written on the asset of the pension plan with a strike price equal to the value of pension liabilities. This implies that pension sponsors should allocate their asset to minimize the sum of the option premiums such that pension asset is the budget constraint to pension resources. In this paper, valuation model for corporate pension funds is constructed. We can take in valuable information to evaluate pension funds by using suggested model in this paper such as the funding ratio, the volatility of investment and the aging of participants. The results of this study support former ones and shed light on the longevity risk for pension sponsors in addition. It is not only useful for pension management but also some practical issues such as pension buyout.