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Taylor & Francis
Pension Fund Risk Management: Financial and Actuarial Modeling / Edition 1

Pension Fund Risk Management: Financial and Actuarial Modeling / Edition 1


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Product Details

ISBN-13: 9781439817520
Publisher: Taylor & Francis
Publication date: 01/25/2010
Series: Chapman & Hall/CRC Finance
Pages: 764
Product dimensions: 6.40(w) x 9.30(h) x 1.70(d)

About the Author

Marco Micocci is a professor of financial mathematics and actuarial science in the Faculty of Economics at the University of Cagliari in Italy.

Greg N. Gregoriou is a professor of finance in the School of Business and Economics at the State University of New York in Plattsburgh.

Giovanni Batista Masala is a researcher of mathematical methods in the Faculty of Economics at the University of Cagliari in Italy.

Table of Contents

Preface ix

Editors xvii

Contributor Bios xix

Contributors xxxiii

Part 1 Financial Risk Management

Chapter 1 Quantifying Investment Risk in Pension Funds Shane Francis Whelan 003

Chapter 2 Investment Decision in Defined Contribution Pension Schemes Incorporating Incentive Mechanism Bill Shih-Chieh Chang Evan Ya-Wen Hwang 039

Chapter 3 Performance and Risk Measurement for Pension Funds Auke Plantinga 071

Chapter 4 Pension Funds under Inflation Risk Aihua Zhang 085

Chapter 5 Mean–Variance Management in Stochastic Aggregated Pension Funds with Nonconstant Interest Rate Ricardo Josa Fombellida 103

Chapter 6 Dynamic Asset and Liability Management Ricardo Matos Chaim 129

Chapter 7 Pension Fund Asset Allocation under Uncertainty Wilma de Groot Laurens Swinkels 157

Chapter 8 Different Stakeholders' Risks in DB Pension Funds Theo Kocken Anne de Kreuk 167

Chapter 9 Financial Risk in Pension Funds: Application of Value at Risk Methodology Marcin Fedor 185

Chapter 10 Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing, and Default Insurance Charles Sutcliffe 211

Part II Technical Risk Management

Chapter 11 Longevity Risk and Private Pensions Pablo Antolin 237

Chapter 12 Actuarial Funding of Dismissal and Resignation Risks Werner Hürlimann 267

Chapter 13 Retirement Decision: Current Influences on the Timing of Retirement among Older Workers Gaobo Pang Mark J. Warshawsky Ben Weitzer 287

Chapter 14 Insuring Defined Benefit Plans in Germany Ferdinand Mager Christian Schmieder 315

Chapter 15 The Securitization of Longevity Risk in Pension Schemes: The Case of Italy Susanna Levantesi Massimiliano Menzietti Tiziana Torri 331

Part III Regulation and Solvency Topics

Chapter 16 Corporate Risk Management and Pension Asset Allocation Yong Li 365

Chapter 17 Competition among Pressure Croups over the Determination of U.K. Pension Fund Accounting Rules Paul John Marcel Klumpes Stuart Manson 389

Chapter 18 Improving the Equity, Transparency, and Solvency of Pay-as-You-Go Pension Systems: NDCs, the AB, and ABMs Carlos Vidal-Meliá María Del Carmen Boado-Penas Ole Settergren 419

Chapter 19 Risk-Based Supervision of Pension Funds in the Netherlands Dirk Broeders Marc Pröpper 473

Chapter 20 Policy Considerations for Hedging Risks in Mandatory Defined Contribution Pensions through Better Default Options Gregorio Impavido 509

Chapter 21 Pension Risk and Household-Saving over the Life Cycle David A. Love Paul A Smith 549

Part IV International Experience in Pension Fund Risk Management

Chapter 22 Public and Private DC Pension Schemes, Termination Indemnities, and Optimal Funding of Pension System in Italy Marco Micocci Giovanni B. Masala Giuseppina Cannas 581

Chapter 23 Efficiency Analysis in the Spanish Pension Funds Industry: A Frontier Approach Carmen-Pilar Martí-Ballester Diego Prior-Jiménez 597

Chapter 24 Pension Funds under Investment Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System Nikolaos T. Milonas George A Papachristou Theodore A. Roupas 637

Chapter 25 Pension Fund Deficits and Stock Market Efficiency: Evidence from the United Kingdom Weixi Liu Ian Tonks 659

Chapter 26 Return-Based Style Analysis Applied to Spanish Balanced Pension Plans Laura Andreu Cristina Ortiz José Luis Sarto Luis Vicente 689

Index 707

What People are Saying About This

From the Publisher

A strength of this approach is the variety of angles and insights which it provides — there were no shortage of ideas. … This book is perfect for those who would like a broad view of the current landscape or who have a question that is specifically tackled by one of the chapters … this book covered a lot of interesting material and concepts, and had some impressive chapters. … well worth dipping into.
—John Hatchett, Annals of Actuarial Science, Vol. 5, 2011

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