Pension Fund Risk Management
eBook - PDF

Pension Fund Risk Management

Financial and Actuarial Modeling

Marco Micocci, Greg N. Gregoriou, Giovanni Batista Masala, Marco Micocci, Greg N. Gregoriou, Giovanni Batista Masala

  1. 764 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Pension Fund Risk Management

Financial and Actuarial Modeling

Marco Micocci, Greg N. Gregoriou, Giovanni Batista Masala, Marco Micocci, Greg N. Gregoriou, Giovanni Batista Masala

Book details
Table of contents
Citations

About This Book

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 integr

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Information

Publisher
Chapman and Hall/CRC
Year
2010
ISBN
9781439817544
Edition
1
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Front cover
  2. Contents
  3. Preface
  4. Editors
  5. Contributor Bios
  6. Contributors
  7. PART I: Financial Risk Management
  8. Chapter 1. Quantifying Investment Risk in Pension Funds
  9. Chapter 2. Investment Decision in Defined Contribution Pension Schemes Incorporating Incentive Mechanism
  10. Chapter 3. Performance and Risk Measurement for Pension Funds
  11. Chapter 4. Pension Funds under Inflation Risk
  12. Chapter 5. Mean-Variance Management in Stochastic Aggregated Pension Funds with Nonconstant Interest Rate
  13. Chapter 6. Dynamic Asset and Liability Management
  14. Chapter 7. Pension Fund Asset Allocation under Uncertainty
  15. Chapter 8. Different Stakeholders' Risks in DB Pension Funds
  16. Chapter 9. Financial Risk in Pension Funds: Application of Value at Risk Methodology
  17. Chapter 10. Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing, and Default Insurance*
  18. PART II: Technical Risk Management
  19. Chapter 11. Longevity Risk and Private Pensions
  20. Chapter 12. Actuarial Funding of Dismissal and Resignation Risks
  21. Chapter 13. Retirement Decision: Current Influences on the Timing of Retirement among Older Workers*
  22. Chapter 14. Insuring Defined Benefit Plans in Germany
  23. Chapter 15. The Securitization of Longevity Risk in Pension Schemes: The Case of Italy
  24. PART III: Regulation and Solvency Topics
  25. Chapter 16. Corporate Risk Management and Pension Asset Allocation
  26. Chapter 17. Competition among Pressure Groups over the Determination of U.K. Pension Fund Accounting Rules
  27. Chapter 18. Improving the Equity, Transparency, and Solvency of Pay-as-You-Go Pension Systems: NDCs, the AB, and ABMs
  28. Chapter 19. Risk-Based Supervision of Pension Funds in the Netherlands
  29. Chapter 20. Policy Considerations for Hedging Risks in Mandatory Defined Contribution Pensions through Better Default Options*
  30. Chapter 21. Policy Considerations for Hedging Risks in Mandatory Defined Contribution Pensions through Better Default Options*
  31. PART IV: International Experience in Pension Fund Risk Management
  32. Chapter 22. Public and Private DC Pension Schemes, Termination Indemnities, and Optimal Funding of Pension System in Italy
  33. Chapter 23. Efficiency Analysis in the Spanish Pension Funds Industry: A Frontier Approach
  34. Chapter 24. Pension Funds under Investment Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System
  35. Chapter 25. Pension Fund Deficits and Stock Market Efficiency: Evidence from the United Kingdom
  36. Chapter 26. Return-Based Style Analysis Applied to Spanish Balanced Pension Plans
  37. Index
  38. Back cover