中文摘要
2012 年至 2022 年间,美国企业确定收益型(DB)养老金计划的发起人向保险公司转移了 1550 亿美元的养老金债务。这些养老金风险转移(PRT)使企业 DB 计划参与者总数减少了 12%,对相关保险公司而言是一项规模巨大的业务。我们构建了一个新的 PRT 数据库,并强调 PRT 的三个特征:(i)强制性养老金福利担保公司(PBGC)保险费带来的负担驱动了 PRT 活动;(ii)采用衡量 PRT 影响的上限指标,我们估计平均每个发起人的养老金债务和计划参与者分别减少 22% 和 27%。这些大幅减少主要源于退休计划参与者向保险公司的转移。(iii)实施 PRT 的计划发起人即使在实施 PRT 之后,违约风险也更低,养老金资产波动性也更小。因此,PRT 增加了剩余 PBGC 池的风险。本文由 Lukas Schmid(金融)录用。资助:S. Klingler 感谢欧洲研究理事会[资助号 101040188]的支持。补充材料:在线附录和数据文件可在 https://doi.org/10.1287/mnsc.2024.05523 获取。
Abstract
Sponsors of corporate defined benefit (DB) pension plans in the United States transferred $155 billion pension obligations to insurance companies between 2012 and 2022. These pension risk transfers (PRTs) reduced the pool of corporate DB plan participants by 12% and are a huge business for the involved insurers. We assemble a new PRT database and highlight three features of PRTs: (i) the burden associated with mandatory Pension Benefit Guaranty Corporation (PBGC) insurance premiums drives PRT activity; (ii) using an upper bound measure for the impact of PRTs, we estimate that the average sponsor reduces its pension obligations and plan participants by 22% and 27%, respectively. These large reductions are mainly because of the transfer of retired plan participants to insurance companies. (iii) Plan sponsors that conduct PRTs have less default risk and less volatile pension assets even after conducting the PRTs. Hence, PRTs increase the risk of the remaining PBGC pool. This paper was accepted by Lukas Schmid, finance. Funding: S. Klingler gratefully acknowledges support from the European Research Council [Grant 101040188]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.05523 .