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mandy · 2025年02月05日

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NO.PZ202301040900001302

问题如下:

(2) Because of excellent recent investment results, ADSE has not needed to make contributions to the pension fund in the 2 most recent years. Smit considers it very important to maintain a plan surplus in relation to PBO. Because an €8 m surplus will be an increasingly small buffer as plan liabilities increase, Smit decides that maintaining plan funded status, stated as a ratio of plan assets to PBO at 100% or greater, is his top priority. State an appropriate risk objective for ADSE.

选项:

解释:

Given Smit considered it very important to maintain a plan surplus in relation to PBO, an appropriate risk objective for ADSE relates to shortfall risk with respect to the plan’s funded status falling below 100 percent.

ADSE may want to minimize the probability that funded status falls below 100%, or it may want the probability that funded status falls below 100% to be less than or equal to 10%. If a plan surplus is maintained, ADSE may experience more years in which it does not need to make a contribution.

Indeed, a major motivation for maintaining a plan surplus is to reduce the contributions ADSE needs to make in the future. As such, another relevant type of risk objective would be to minimize the present value of expected cash contributions.

老师,请问考试中这样回答能拿全分吗?

risk objectives for ADSE are as follows:

  1. ADSE may want to minimize shortfall risk which is the probability of funded status falling below 100%.
  2. ADSE may want to minimize the present value of expected cash contributions.


1 个答案

Lucky_品职助教 · 2025年02月06日

嗨,努力学习的PZer你好:


同学你好:


你的答案涵盖了关键要点,但是拿全分还需要再完整和深入一些。当然,在时间紧迫的时候,这么回答已经很不错了。


题目中提到维持计划盈余的重要性,原因是随着负债增加,现有盈余缓冲会变小,所以需要阐述维持计划资金状况(资产与 PBO 比例 100% 或更高)的意义。仅表明要最小化资金状况低于 100% 的概率和最小化预期现金缴款现值,未解释背后的逻辑和重要性,内容不够完整。

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