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Part II technical risk management

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Part II technical risk management

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PART II Technical Risk Management 235 © 2010 by Taylor and Francis Group, LLC

Ngày đăng: 28/08/2019, 08:50

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Mục lục

  • Pension Fund Risk Management: Financial and Actuarial Modeling

    • Contents

    • Preface

      • INTEGRATED RISK MANAGEMENT IN PENSION FUNDS

      • María del Carmen Boado-Penas

      • Paul John Marcel Klumpes,

      • Part I: Financial Risk Management

      • 1.3 CASE STUDIES ESTIMATING INVESTMENT RISK

        • 1.3.1 Pension Saving, Person Aged 55 Years and Over

        • 1.3.2 Case Study 1: Measurement of Investment Risk in Pension Funds—Termination Liability

        • 1.3.3 Case Study 2: Measurement of Investment Risk in Pension Funds—Ongoing Liabilities

        • 1.4 TIME DIVERSIFICATION OF RISK ARGUMENT

        • APPENDIX

          • 1.A.1 LIMITATIONS OF PROPOSED DEFINITION OF INVESTMENT VARIATION (AND THE ASSOCIATED INVESTMENT RISK)

          • 1.A.2 CASE STUDY 1 WHEN PENSION LIABILITY DUE TO A 30 YEAR OLD

          • 1.A.3 CASE STUDY 2 WHEN PENSION LIABILITY DUE TO 30 YEAR OLD

          • 2.2 LITERATURE REVIEW

            • 2.2.1 Uncertainties of Inflation and Salary

            • 2.3 PROPOSED MODEL

              • 2.3.1 Financial Market and Fund Dynamics

              • 3.2 LIABILITY-DRIVEN INVESTING AND PENSION LIABILITIES

              • 3.4 AN APPLICATION OF THE MODEL

              • 4.2 INVESTMENT PROBLEM FOR A DC PENSION FUND

              • 4.3 HOW TO SOLVE IT

              • 4.4 OPTIMAL MANAGEMENT OF THE PENSION FUND WITHOUT LIQUIDITY CONSTRAINTS

              • 5.4 OPTIMAL CONTRIBUTION, OPTIMAL PORTFOLIO, AND EFFICIENT FRONTIER

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