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- Title
Pensions modelling.
- Authors
Con Keating
- Abstract
Valuable insights into the problem of how to fund defined benefit pension schemes can be obtained by analysis using the standard Black-Scholes/Merton option pricing model, considering the pension fund finances jointly with those of the sponsoring company. The nature of the fund assets and liabilities is completely different, and this lies behind current controversies about the appropriate discount rate, valuation, financial accounting and preferential status for pension fund claimants in insolvency.
- Subjects
DEFINED benefit pension plans; CAPITAL assets pricing model; EMPLOYEE discounts; ACCOUNTING
- Publication
IMA Journal of Management Mathematics, 2003, Vol 14, Issue 2, p101
- ISSN
1471-678X
- Publication type
Article
- DOI
10.1093/imaman/14.2.101