TY - JOUR
T1 - Managing Reputational Risk in the Decumulation Phase of a Pension Fund
AU - Boado-Penas, M. Carmen
AU - Brinker, Leonie V.
AU - Eisenberg, Julia
AU - Korn, Ralf
N1 - Funding Information:
The research of Julia Eisenberg was funded by the Austrian Science Fund (FWF) , Project number V 603-N35 .
Funding Information:
M. Carmen Boado-Penas acknowledges the Grant PID2020-114563GB-I00 funded by MCIN/AEI/10.13039/501100011033 .
Publisher Copyright:
© 2022 The Author(s)
PY - 2023/3
Y1 - 2023/3
N2 - In this paper, we suggest strategies for a pension provider to avoid a loss of reputation due to possible pension reductions in the decumulation phase. In different settings, we determine optimal actions to keep the pension plan solvent, i.e. value of the assets always above the net present value of the pension liabilities. With this in mind, we solve suitable singular control problems. We show that, in expectation, the pension provider can cover the costs of the optimal action via sharing bonus payments with the policyholders.
AB - In this paper, we suggest strategies for a pension provider to avoid a loss of reputation due to possible pension reductions in the decumulation phase. In different settings, we determine optimal actions to keep the pension plan solvent, i.e. value of the assets always above the net present value of the pension liabilities. With this in mind, we solve suitable singular control problems. We show that, in expectation, the pension provider can cover the costs of the optimal action via sharing bonus payments with the policyholders.
KW - Collective Investment
KW - Pensions
KW - Reputational risk
KW - Retirement phase
KW - Risk
KW - Stochastic control
UR - http://www.scopus.com/inward/record.url?scp=85146475596&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2022.12.005
DO - 10.1016/j.insmatheco.2022.12.005
M3 - Article
SN - 0167-6687
VL - 109
SP - 52
EP - 68
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -