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Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 30000010324805 | HD7105.4 P46 2010 | Open Access Book | Book | Searching... |
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Summary
Summary
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.
Author Notes
Marco Micocci is a professor of financial mathematics and actuarial science in the Faculty of Economics at the University of Cagliari in Italy.
Greg N. Gregoriou is a professor of finance in the School of Business and Economics at the State University of New York in Plattsburgh.
Giovanni Batista Masala is a researcher of mathematical methods in the Faculty of Economics at the University of Cagliari in Italy.
Table of Contents
| Preface | p. ix |
| Editors | p. xvii |
| Contributor Bios | p. xix |
| Contributors | p. xxxiii |
| Part 1 Financial Risk Management | |
| Chapter 1 Quantifying Investment Risk in Pension Funds | p. 003 |
| Chapter 2 Investment Decision in Defined Contribution Pension Schemes Incorporating Incentive Mechanism | p. 039 |
| Chapter 3 Performance and Risk Measurement for Pension Funds | p. 071 |
| Chapter 4 Pension Funds under Inflation Risk | p. 085 |
| Chapter 5 Mean-Variance Management in Stochastic Aggregated Pension Funds with Nonconstant Interest Rate | p. 103 |
| Chapter 6 Dynamic Asset and Liability Management | p. 129 |
| Chapter 7 Pension Fund Asset Allocation under Uncertainty | p. 157 |
| Chapter 8 Different Stakeholders' Risks in DB Pension Funds | p. 167 |
| Chapter 9 Financial Risk in Pension Funds: Application of Value at Risk Methodology | p. 185 |
| Chapter 10 Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing, and Default Insurance | p. 211 |
| Part II Technical Risk Management | |
| Chapter 11 Longevity Risk and Private Pensions | p. 237 |
| Chapter 12 Actuarial Funding of Dismissal and Resignation Risks | p. 267 |
| Chapter 13 Retirement Decision: Current Influences on the Timing of Retirement among Older Workers | p. 287 |
| Chapter 14 Insuring Defined Benefit Plans in Germany | p. 315 |
| Chapter 15 The Securitization of Longevity Risk in Pension Schemes: The Case of Italy | p. 331 |
| Part III Regulation and Solvency Topics | |
| Chapter 16 Corporate Risk Management and Pension Asset Allocation | p. 365 |
| Chapter 17 Competition among Pressure Croups over the Determination of U.K. Pension Fund Accounting Rules | p. 389 |
| Chapter 18 Improving the Equity, Transparency, and Solvency of Pay-as-You-Go Pension Systems: NDCs, the AB, and ABMs | p. 419 |
| Chapter 19 Risk-Based Supervision of Pension Funds in the Netherlands | p. 473 |
| Chapter 20 Policy Considerations for Hedging Risks in Mandatory Defined Contribution Pensions through Better Default Options | p. 509 |
| Chapter 21 Pension Risk and Household-Saving over the Life Cycle | p. 549 |
| Part IV International Experience in Pension Fund Risk Management | |
| Chapter 22 Public and Private DC Pension Schemes, Termination Indemnities, and Optimal Funding of Pension System in Italy | p. 581 |
| Chapter 23 Efficiency Analysis in the Spanish Pension Funds Industry: A Frontier Approach | p. 597 |
| Chapter 24 Pension Funds under Investment Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System | p. 637 |
| Chapter 25 Pension Fund Deficits and Stock Market Efficiency: Evidence from the United Kingdom | p. 659 |
| Chapter 26 Return-Based Style Analysis Applied to Spanish Balanced Pension Plans | p. 689 |
| Index | p. 707 |
