In this paper, I use a stochastic approach to model the effect that correlations between pension scheme assets and firm values should have on the premiums chargeable by the Pension Protection Fund. In particular, I look at the effect on the aggregate premium that should be charged considering a representative universe of companies and their pension schemes. I find that ignoring the correlations, even if the volatility of pension scheme assets is allowed for, leads to potentially serious underestimation of the aggregate premium due.
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Article provided by Institute for Fiscal Studies in its journal Fiscal Studies.
Volume (Year): 27 (2006) Issue (Month): 2 (June) Pages: 157-182 Download reference. The following formats are available: HTML
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Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies