IACA and PBSS Webinar: Valuation of
Bermudan-DB-Underpin Option
Registration is now open!
Join us on Friday, November 17,
2017
9:00am EDT
The PBSS and IACA Sections invite their members to a webcast by
Xiao Bai Zhu which will be held on 17 November 2017 at 9:00AM
Eastern Time and will run for one hour plus questions.
Xiaobai (Mike) Zhu is a PhD Student at the Department of
Statistics and Actuarial Science (SAS) at the University of
Waterloo, Canada.
The paper was presented at PBSS/IACA Cancun Colloquium.
Because of the quality of the paper, the PBSS committee decided to
award the prize for the Best Theoretical Paper at the
Colloquium.
Abstract: The study of embedded options has grown importance in
pension design, with many novel forms of hybrid plan being proposed
to meet the needs of employees and sponsors. In 2002, the State of
Florida introduced (temporarily) a switching hybrid plan, under
which employees were given the option to convert their defined
contribution (DC) plans to defined benefit (DB) plans. The cost of
such a switch is calculated in terms of the accumulated benefit
obligation (ABO), which is the present value of the accrued
benefit. If the ABO is greater than the DC account, the employee is
assumed to fund the difference. In this work we reconsider
the switching hybrid plan, with additional downside protection for
the employees. The new option is similar to the DB- Underpin hybrid
design, also knowns as the floor-offset plan, but with a
Bermudan-style exercise feature. We adopt an arbitrage-free pricing
methodology to value the option, and specify the situation where
early switch is not optimal.
We recommend that you read
the paper in advance of the webinar.
We hope many of you will be able to join us on the 17th of
November.
REGISTRATION AND PARTICIPATION
This webinar is free for IACA and PBSS members! To register,
click here.
Not a member? You can participate in the webinar too, by joining IACA
or PBSS (nominal fee of $50 Cdn)
In addition to free participation in this webcast, your annual
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