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Pension Fund Risk Management - Financial and Actuarial Modeling (Hardcover) Loot Price: R5,908
Discovery Miles 59 080
Pension Fund Risk Management - Financial and Actuarial Modeling (Hardcover): Marco Micocci, Greg N. Gregoriou, Giovanni Batista...

Pension Fund Risk Management - Financial and Actuarial Modeling (Hardcover)

Marco Micocci, Greg N. Gregoriou, Giovanni Batista Masala

Series: Chapman & Hall/CRC Finance Series

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Loot Price R5,908 Discovery Miles 59 080 | Repayment Terms: R554 pm x 12*

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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.

General

Imprint: Taylor & Francis
Country of origin: United States
Series: Chapman & Hall/CRC Finance Series
Release date: 2010
First published: 2010
Editors: Marco Micocci • Greg N. Gregoriou • Giovanni Batista Masala
Dimensions: 234 x 156 x 46mm (L x W x T)
Format: Hardcover
Pages: 764
ISBN-13: 978-1-4398-1752-0
Categories: Books > Business & Economics > Finance & accounting > Finance > Pensions
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Investment & securities > General
Books > Money & Finance > Pensions
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LSN: 1-4398-1752-9
Barcode: 9781439817520

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