As pension fund systems decrease and dependency ratios increase,
risk management is becoming more complex in public and private
pension plans. Pension Fund Risk Management: Financial and
Actuarial Modeling sheds new light on the current state of pension
fund risk management and provides new technical tools for
addressing pension risk from an integrated point of view.
Divided into four parts, the book first presents the correct
measurement of risk in pension funds, fund dynamics under a
performance-oriented arrangement, an attribution model for
monitoring the performance and risk of a defined benefit (DB)
pension fund, and an optimal investment problem of a defined
contribution (DC) pension fund under inflationary risk. It also
describes a pension plan from a dynamic optimization viewpoint, the
optimal asset allocation of U.S. pension funds, the identification
of stakeholders risks, value-at-risk (VaR) methodology, and various
effects on the asset allocation of DB pension schemes.
The second section focuses on the effects of uncertainty on
employer-provided DB private pension plan liabilities; wage-based
lump sum payments by death, retirement, or dismissal by the
employer; fundamental retirement changes; occupational pension
insurance in Germany; and longevity risk securitization in pension
schemes.
In the third part, the book examines employers risks,
accountability rules and regulations, useful actuarial analysis
instruments, risk-based solvency regime in the Netherlands, and the
impact of the 2008 global financial crisis on pension
participants.
The final part covers DB pension freezes and terminations of
plans, the two-pillar social security system of Italy, the Greek
social security system, the effect of a company s unfunded pension
liabilities on its stock market valuation, and the returns of
Spanish balanced pension plans and portfolio performance.
With contributions from well-known, international academics and
professionals, this book will assist pension fund executives, risk
managers, consultants, and academic researchers in attaining a
clear picture of the integration of risks in the pension world. It
offers a comprehensive, contemporary account of how to handle the
risks involved with pension funds.
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