Technical Review Panel for the Pension Insurance Modeling System (PIMS)
dc.contributor.author | Mitchell, Olivia S. | |
dc.contributor.author | Geczy, Christopher C. | |
dc.contributor.author | Novy-Marx, Robert | |
dc.contributor.author | Maurer, Raimond | |
dc.contributor.author | Fuerst, Donald E. | |
dc.contributor.author | Bone, Christopher M. | |
dc.contributor.author | Segal, Donald J. | |
dc.contributor.author | Clarke, Martin G. | |
dc.contributor.author | Fabozzi, Frank J. | |
dc.contributor.author | Lucas, Deborah | |
dc.contributor.author | Babbel, David F. | |
dc.date.accessioned | 2014-01-10T16:27:24Z | |
dc.date.available | 2014-01-10T16:27:24Z | |
dc.date.issued | 2013-09-30 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/102265 | |
dc.description.abstract | In April of 2013, the Pension Research Council of the Wharton School at the University of Pennsylvania convened a Technical Review Panel, comprising ten experts whose task it was to review the Pension Benefit Guaranty Corporation’s (PBGC) Pension Insurance Modeling System (PIMS), including inputs, outputs, and model assumptions. The review was intended to provide a formal evaluation of the technical adequacy of the model by outside experts. Each expert participating on the Technical Panel was asked to review background material (see References) and focus on a particular aspect of the PIMS model. The list of panelists and topics was developed by the Council in discussion with the Social Security Administration (SSA). This report and the appended papers herein from our Technical Panel comprise the Final Report under this project. The Panel’s key findings may be summarized as follows: (1) The PIMS models are an important and valuable tool in modeling the Agency’s liability risk. To the best of our knowledge, there is no other model that can do a comparable job. (2) Nevertheless, some improvements could be integrated in the Agency’s approach to modeling. Those deserving highest priority attention in the experts’ view are the following: (a) Incorporating systematic mortality risk (i.e., treat mortality and longevity as stochastic variables); (b) Including new asset classes increasingly found in defined benefit plan portfolios (e.g., commercial real estate, private equity funds, infrastructure, hedge funds, and others); (c) Developing a more complex model for the term structure of interest rates; and (d) Incorporating an option value approach to pricing the insurance provided. (3) The Agency could also do more to communicate the range of uncertainty and potential for problems associated with the PBGC’s financial status. This could include additional information including the Conditional Value at Risk (CVaR), and perhaps an ‘intermediate,’ ‘optimistic,’ and ‘pessimistic’ set of projected outcomes, as well as the expected ‘date of exhaustion’ for assets backing pension benefits insured by the PBGC. | en_US |
dc.description.sponsorship | Social Security Administration | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | Michigan Retirement Research Center, University of Michigan, P.O. Box 1248, Ann Arbor, MI 48104 | en_US |
dc.relation.ispartofseries | WP 2013-290 | en_US |
dc.subject | Pensions, Insurance | en_US |
dc.title | Technical Review Panel for the Pension Insurance Modeling System (PIMS) | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Population and Demography | |
dc.subject.hlbtoplevel | Social Sciences | |
dc.contributor.affiliationother | The Wharton School, University of Pennsylvania | en_US |
dc.contributor.affiliationother | The Wharton School, University of Pennsylvania | en_US |
dc.contributor.affiliationother | Simon School of Business, University of Rochester | en_US |
dc.contributor.affiliationother | Finance Department, Goethe University | en_US |
dc.contributor.affiliationother | Mercer Human Resource Consulting | en_US |
dc.contributor.affiliationother | Edth Limited LLC | en_US |
dc.contributor.affiliationother | Society of Actuaries | en_US |
dc.contributor.affiliationother | Pension Protection Fund | en_US |
dc.contributor.affiliationother | EDHEC Business School, EDHEC Risk Institute | en_US |
dc.contributor.affiliationother | Sloan School of Management, Massachusetts Institute of Technology | en_US |
dc.contributor.affiliationother | The Wharton School, University of Pennsylvania | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/102265/1/wp290.pdf | |
dc.owningcollname | Retirement and Disability Research Center, Michigan (MRDRC) |
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