Managing Reputational Risk in the Decumulation Phase of a Pension Fund

M. Carmen Boado-Penas; Leonie V. Brinker; Julia Eisenberg; Ralf Korn

doi:10.1016/j.insmatheco.2022.12.005

Managing Reputational Risk in the Decumulation Phase of a Pension Fund

M. Carmen Boado-Penas, Leonie V. Brinker, Julia Eisenberg, Ralf Korn

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4 Citations (Scopus)

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Abstract

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.

Original language	English
Pages (from-to)	52-68
Number of pages	17
Journal	Insurance: Mathematics and Economics
Volume	109
Early online date	16 Jan 2023
DOIs	https://doi.org/10.1016/j.insmatheco.2022.12.005
Publication status	Published - Mar 2023

Keywords

Collective Investment
Pensions
Reputational risk
Retirement phase
Risk
Stochastic control

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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title = "Managing Reputational Risk in the Decumulation Phase of a Pension Fund",

abstract = "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.",

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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

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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

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EP - 68

JO - Insurance: Mathematics and Economics

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ER -

Managing Reputational Risk in the Decumulation Phase of a Pension Fund

Abstract

Keywords

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