Pensions modelling |
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| Authors: | Keating Con |
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| Institution: |
1 The Finance Development Centre, Genesis House, 17 Godliman Street, London EC4V 5BD, UK
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| Abstract: | Valuable insights into the problem of how to fund defined benefitpension schemes can be obtained by analysis using the standardBlack–Scholes/Merton option pricing model, consideringthe pension fund finances jointly with those of the sponsoringcompany. The nature of the fund assets and liabilities is completelydifferent, and this lies behind current controversies aboutthe appropriate discount rate, valuation, financial accountingand preferential status for pension fund claimants in insolvency. |
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| Keywords: | defined benefit pensions option pricing Black– Scholes Merton fair value accounting insolvency |
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