Pension Fund Risk Management: Financial and

With contributions from well-known, international academics and professionals, this book 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. Some of the useful tools presented include VaR, Monte Carlo simulation, notional DC accounts, and actuarial balance and automatic balance mechanisms. The book describes the complex facets of various pension systems, including DB and DC plans, and explores real-world pension funds in the United States, United Kingdom, Netherlands, Germany, Italy, Greece, and Spain. It also examines the rules and regulations of pension funds.

Preface	p. ix
Editors	p. xvii
Contributor Bios	p. xix
Contributors	p. xxxiii
Financial Risk Management
Quantifying Investment Risk in Pension Funds	p. 003
Investment Decision in Defined Contribution Pension Schemes Incorporating Incentive Mechanism	p. 039
Performance and Risk Measurement for Pension Funds	p. 071
Pension Funds under Inflation Risk	p. 085
Mean–Variance Management in Stochastic Aggregated Pension Funds with Nonconstant Interest Rate	p. 103
Dynamic Asset and Liability Management	p. 129
Pension Fund Asset Allocation under Uncertainty	p. 157
Different Stakeholders' Risks in DB Pension Funds	p. 167
Financial Risk in Pension Funds: Application of Value at Risk Methodology	p. 185
Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing, and Default Insurance	p. 211
Technical Risk Management
Longevity Risk and Private Pensions	p. 237
Actuarial Funding of Dismissal and Resignation Risks	p. 267
Retirement Decision: Current Influences on the Timing of Retirement among Older Workers	p. 287
Insuring Defined Benefit Plans in Germany	p. 315
The Securitization of Longevity Risk in Pension Schemes: The Case of Italy	p. 331
Regulation and Solvency Topics
Corporate Risk Management and Pension Asset Allocation	p. 365
Competition among Pressure Croups over the Determination of U.K. Pension Fund Accounting Rules	p. 389
Improving the Equity, Transparency, and Solvency of Pay-as-You-Go Pension Systems: NDCs, the AB, and ABMs	p. 419
Risk-Based Supervision of Pension Funds in the Netherlands	p. 473
Policy Considerations for Hedging Risks in Mandatory Defined Contribution Pensions through Better Default Options	p. 509
Pension Risk and Household-Saving over the Life Cycle	p. 549
International Experience in Pension Fund Risk Management
Public and Private DC Pension Schemes, Termination Indemnities, and Optimal Funding of Pension System in Italy	p. 581
Efficiency Analysis in the Spanish Pension Funds Industry: A Frontier Approach	p. 597
Pension Funds under Investment Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System	p. 637
Pension Fund Deficits and Stock Market Efficiency: Evidence from the United Kingdom	p. 659
Return-Based Style Analysis Applied to Spanish Balanced Pension Plans	p. 689
Index	p. 707
Table of Contents provided by Ingram. All Rights Reserved.

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Pension Fund Risk Management: Financial and Actuarial Modeling

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