The Pension Bene fit Guaranty Corporation (PBGC) registers a preoccupying financial condition since 2002. This paper builds a theoretical framework for defi ning its optimal asset allocation in a continuous-time stochastic world. We first recognize the PBGC 's put seller nature and derive...

The paper deals with taxation effects on optimal portfolio rules of de fined contribution (DC) and de fined benefi t (DB) pension funds in a continuous-time setting. Following practice, three tax types are considered: on contributions, investment gains and pensions. We focus on the tax effects...

We analyze the rationale for the pay-as-you-go (paygo) pension system existence on diversi fication grounds. A continuous-time portfolio choice setting is built, basing on Merton (1971)´s analysis, where a reasonable balance between the taking account of the economic and fi nancial facets of...

The existing literature deals with the optimal investment strategy of defined benefit (DB) or defined contribution (DC) pension plans. This paper's objective is to compare the optimal policies of different types of pension plans. This is done by first defining an original framework, which is...

This paper studies the surplus-sharing effects on the risk-taking of a corporate defined benefit (DB) pension plan. The focus is on the influence of the participants' proportion of surplus and of the relative weight of equityholders to participants. We prove that participants' risk-taking...

In the presence of a minimum funding requirement or of a PBGC guarantee that is only partial, an economically fair insurance premium decreases the pension plan's risk-taking. When the regulation's risk-neutrality is sought, a premium lower than the economically fair one should be charged. The...