Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

The Valuation of Option Features in Retirement Benefits

Michael Sherris
The Journal of Risk and Insurance
Vol. 62, No. 3, Symposium on Insurance Solvency and Finance (Sep., 1995), pp. 509-534
DOI: 10.2307/253821
Stable URL: http://www.jstor.org/stable/253821
Page Count: 26
  • Read Online (Free)
  • Download ($9.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Valuation of Option Features in Retirement Benefits
Preview not available

Abstract

This article extends and applies a contingent claims valuation approach to option features in retirement fund benefits. The approach incorporates retirement, mortality, and other decrements and allows for differences between the benefit payments and standard option payoffs. A discrete lattice implementation commonly used for valuing financial options is found to be unsatisfactory for the valuation of these option features. Simulation is found to be more efficient. Simulation is then used to calculate benefit values for a range of ages for a simplified fund. The results of the valuations for a number of simulation scenarios demonstrate that a traditional deterministic actuarial valuation can understate the cost of these benefits by as much as 25 to 35 percent.

Page Thumbnails

  • Thumbnail: Page 
[509]
    [509]
  • Thumbnail: Page 
510
    510
  • Thumbnail: Page 
511
    511
  • Thumbnail: Page 
512
    512
  • Thumbnail: Page 
513
    513
  • Thumbnail: Page 
514
    514
  • Thumbnail: Page 
515
    515
  • Thumbnail: Page 
516
    516
  • Thumbnail: Page 
517
    517
  • Thumbnail: Page 
518
    518
  • Thumbnail: Page 
519
    519
  • Thumbnail: Page 
520
    520
  • Thumbnail: Page 
521
    521
  • Thumbnail: Page 
522
    522
  • Thumbnail: Page 
523
    523
  • Thumbnail: Page 
524
    524
  • Thumbnail: Page 
525
    525
  • Thumbnail: Page 
526
    526
  • Thumbnail: Page 
527
    527
  • Thumbnail: Page 
528
    528
  • Thumbnail: Page 
529
    529
  • Thumbnail: Page 
530
    530
  • Thumbnail: Page 
531
    531
  • Thumbnail: Page 
532
    532
  • Thumbnail: Page 
533
    533
  • Thumbnail: Page 
534
    534