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Type: Journal Articles Authors: Paul Sweeting ISSN: Print: 0143-5671 Online: 1475-5890
Published in: Fiscal Studies, Vol. 27, No. 2, June 2006
Volume, issue, pages: Vol. 27, No. 2, pp. 157-182
JEL classification: G11, G13, G22, G23, G28, J26.
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. Search |
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