Pension Fund Risk Management

<p>As pension fund systems decrease and dependency ratios increase risk management is becoming more complex in public and private pension plans. <strong>Pension Fund Risk Management: Financial and Actuarial Modeling</strong> 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.</p><p>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.</p><p>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.</p><p>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.</p><p>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.</p><p>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.</p>