Pension fund risk management : financial and actuarial modeling
Author(s)
Bibliographic Information
Pension fund risk management : financial and actuarial modeling
(Chapman & Hall/CRC finance series)
CRC Press, c2010
Available at 6 libraries
  Aomori
  Iwate
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  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
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  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
"A Chapman & Hall book"
Includes bibliographical references and index
Description and Table of Contents
Description
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.
Table of Contents
Financial Risk Management. Technical Risk Management. Regulation and Solvency Topics. International Experience in Pension Fund Risk Management. Index.
by "Nielsen BookData"