The Fair Value Of Pension Funding For Defined Contribution Pension Plan With The Bankruptcy Risk

In this paper we consider two defined contribution plans with and withoutbankruptcy risk. When the asset price process follows from the compound geometricBrownian model with jump, we obtain the fair value of the pension funding fordefined contribution plan. In addition, we present a numerical example to analyzethe dynamic relationship between the pension funding and the length of service.Furthermore, we give their sensitivity analysis for short-term endowment insuranceand long-term endowment insurance, respectively.