A Termination Rule for Pension Guarantee Funds
为养老金担保基金提出一个基于临界资金比率的终止规则，通过求解计划受益人的期望效用最大化问题来确定该比率，并设置两个约束以维持基金可持续性。
Abstract A termination rule based on a critical funding ratio is proposed for a pension guarantee fund (PGF) that considers closing an underfunded pension plan. This ratio is determined by solving an expected utility maximization problem on behalf of plan beneficiaries subject to two constraints designed to preserve the PGF's viability. The first is an upper bound on the PGF's annual intervention probability; the second, a restriction on the expected shortfall of an underfunded pension plan that is not closed. Both too low and too high critical funding ratios hurt beneficiaries’ interests, depending on their degree of risk aversion.