报告题目: Valuation of Risk-Based Premium of PBGC
报 告 人：钱林义（华东师范大学，教授）
报告时间：2019年7月22日（星期一），15:30—16:30
报告地点：龙赛理科楼，色情论坛-老司机论坛-福利论坛
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报告摘要: In this paper, we mainly focus on valuation of risk-based premium of private pension plan with termination provided by the Pension Benefit Guaranty Corporation(PBGC). In practical problems, the jump diffusion model is more practical and reasonable. Taking account of this situation, we consider the jump diffusion model and obtain a closed-form pricing formula for this risk-based premium. Through numerical simulations, we analyze the impact of these variables on the premium and show the trend of premium changes.
