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題名 Pension Risk Management in the Enterprise Risk Management Framework
作者 Lin, Yijia
MacMinn, Richard D.
Tian, Ruilin
Yu, Jifeng
貢獻者 風險與保險研究中心
關鍵詞 Capital; Firm; Firm Value; Investment; Pension
日期 2017-04
上傳時間 30-八月-2017 15:29:07 (UTC+8)
摘要 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.
關聯 Journal of Risk and Insurance, Special Edition, Vol. 84, 345-65
資料類型 article
DOI http://dx.doi.org/10.1111/jori.12196
dc.contributor 風險與保險研究中心zh_TW
dc.creator (作者) Lin, Yijiaen_US
dc.creator (作者) MacMinn, Richard D.en_US
dc.creator (作者) Tian, Ruilinen_US
dc.creator (作者) Yu, Jifengen_US
dc.date (日期) 2017-04
dc.date.accessioned 30-八月-2017 15:29:07 (UTC+8)-
dc.date.available 30-八月-2017 15:29:07 (UTC+8)-
dc.date.issued (上傳時間) 30-八月-2017 15:29:07 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112304-
dc.description.abstract (摘要) 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.en_US
dc.format.extent 196427 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Risk and Insurance, Special Edition, Vol. 84, 345-65en_US
dc.subject (關鍵詞) Capital; Firm; Firm Value; Investment; Pensionen_US
dc.title (題名) Pension Risk Management in the Enterprise Risk Management Frameworken_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1111/jori.12196
dc.doi.uri (DOI) http://dx.doi.org/10.1111/jori.12196