摘要翻译：
小型固定福利养老金计划的一个风险是成员太少，无法消除特殊的死亡风险，也就是说成员太少，无法有效地分担死亡风险。这意味着，当计划中的成员很少时，与大型计划相比，负债价值显著偏离预期负债价值的风险增加。我们通过检查一个计划的负债价值相对于其期望值的变异系数来量化这种风险。我们研究了变异系数如何随成员数量而变化，并发现即使有数百名成员在计划中，特质死亡率风险仍然很大。使用随机死亡率模型降低了特殊死亡率风险，但代价是增加了方案中的总死亡率风险。接下来，我们量化了集中在计划执行部分的死亡风险的数量，在该部分，执行人员获得的福利高于非执行福利。我们使用欧拉资本分配原则在执行部门和非执行部门之间分配负债价值的总标准差。我们发现，分配给执行部门的标准差比例高于基于成员受益金额的分配所建议的比例。虽然这些结果对死亡率模型的选择很敏感，但它们确实表明，该计划的死亡率风险应该在计划的各个部分进行监测和管理，而不仅仅是在整个计划的基础上进行监测和管理。
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英文标题：
《Quantifying mortality risk in small defined-benefit pension schemes》
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作者：
Catherine Donnelly
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in the scheme, there is an increased risk of the liability value deviating significantly from the expected liability value, as compared to a large scheme.   We quantify this risk through examining the coefficient of variation of a scheme's liability value relative to its expected value. We examine how the coefficient of variation varies with the number of members and find that, even with a few hundred members in the scheme, idiosyncratic mortality risk may still be significant. Using a stochastic mortality model reduces the idiosyncratic mortality risk but at the cost of increasing the overall mortality risk in the scheme.   Next we quantify the amount of the mortality risk concentrated in the executive section of the scheme, where the executives receive a benefit that is higher than the non-executive benefit. We use the Euler capital allocation principle to allocate the total standard deviation of the liability value between the executive and non-executive sections. We find that the proportion of the standard deviation allocated to the executive section is higher than is suggested by an allocation based on the members' benefit amounts. While the results are sensitive to the choice of mortality model, they do suggest that the mortality risk of the scheme should be monitored and managed within the sections of a scheme, and not only on a scheme-wide basis.
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PDF链接：
https://arxiv.org/pdf/1107.1380