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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/112304

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112304

Title:	Pension Risk Management in the Enterprise Risk Management Framework
Authors:	Lin, Yijia MacMinn, Richard D. Tian, Ruilin Yu, Jifeng
Contributors:	風險與保險研究中心
Keywords:	Capital;Firm;Firm Value;Investment;Pension
Date:	2017-04
Issue Date:	2017-08-30 15:29:07 (UTC+8)
Abstract:	This article presents an enterprise risk management (ERM) model for a firm that is composed of a portfolio of capital investment projects and a defined benefit (DB) plan for its workforce. The firm faces the project, operational, and hazard risks from its investment projects as well as the financial and longevity risks from its DB plan. The firm maximizes its capital market value net of pension contributions subject to constraints that control project, operational, hazard, financial, and longevity risks as well as an overall risk. The analysis illustrates the importance of integrating pension risk into the firm`s ERM program by comparing firm value with and without managing pension risk with other risks in an ERM program. An ERM program considering pension effect integrates the risks of the operation and pension divisions and, thus, achieves diversification benefits between and within these two divisions. We also show how pension hedging strategies can impact the firm`s net value under the ERM framework. While the existing literature suggests that a longevity swap is less expensive than a pension buy-out because the latter is more capital intensive, this analysis shows that the buy-out is more effective in increasing firm value.
Relation:	Journal of Risk and Insurance, Special Edition, Vol. 84, 345-65
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/jori.12196
DOI:	10.1111/jori.12196
Appears in Collections:	[風險管理與保險學系] 期刊論文

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