A simulation comparison of actuarial and contingent claims models for unfunded pension liabilities.

From: Quarterly Journal of Business and Economics | Date: March 22, 1992| Author: | Copyright information

Abstract

Corporate financial statements must include pension plan disclosures. The disclosures include information that allows users to compute the unfunded pension liability. Willinger (1985) discusses an alternative contingent claims model for the valuation of unfunded pension liabilities. This alternative model may be preferred to the actuarial present value model, as the model reduces the opportunities to manipulate the pension liability. This paper develops simulations that compare the actuarial model to the contingent claims model. The results provide evidence that ...

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