外文文献：养老金保护基金The Pension Protection Fund.pdf

The Pension Protection Fund Abstract We develop a stylised model of the UK Pension Protection Fund (PPF), a defined benefit pension guarantee system for the UK, based on an analogy between pension liabilities and corporate debt obligations. We show that the PPF is likely to face many years of low claims interspersed irregularly with periods of very large claims. There is a significant chance that these claims will be so large that the PPF will default on its liabilities, leaving the Government with no option but to bail it out. The cause of this problem is the mismatch between pension assets (largely invested in equities in the UK) and liabilities (which are bond-like). This will cause many firms to default when their pension plans are heavily underfunded. We use our model to derive a fair premium for PPF insurance under different circumstances, to estimate the extent of cross-subsidies in the PPF between strong and weak sponsors and to show that risk rated premiums are unlikely to have a substantial effect on either the size or the lumpiness of claims. We argue that for the PPF to operate effectively, it should be introduced in tandem with strong minimum funding requirements and a lower level of benefit guarantee than at present. David McCarthy Lecturer, Finance Group Tanaka Business School at Imperial College South Kensington, SW7 2AZ E-mail: dg.mccarthy @imperial.ac.uk Phone: 0207-594-9130 Anthony Neuberger Associate Professor, London Business School Regents Park, NW 1 4SA E-mail: aneuberger @ Phone: 0207-262-5050 The Pension Protection Fund The UK has recently established a Pension Protection Fund (PPF) to protect members 1 of private sector defined benefit scheme whose firms become insolvent (Department of Work and Pensions, 2004a). Many details of the