Valoración de la garantía de los planes de pensiones en España

Many Social Security reforms either encourage or require individuals to switch from a government-run defined benefit pension fund to a privately-run defined contribution system. In this paper, contingent claims analysis is used to price government guarantees on defined contribution pension funds. Two types of guarantees of return for an individual’s pension fund are considered: a fixed minimum rate of return and a minimum rate of return related to the sector’s average return. The values for each of these guarantees are computed for a representative sample of Spanish pension funds.