Abstract
Defined Benefit Pension Schemes (DB) are affected by a lot of different risks able to put in danger the viability of the system. A solvency analysis seems therefore to be essential as in insurance but it must take into account the specificities of pension liabilities. In particular, pension funds are characterized by a long term aspect and a limited need of liquidity. In this perspective, the purpose of this paper is to combine the three major risks affecting a DB plan (market, inflation and longevity risks) and to look at their effect on the solvency of the pension fund.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Artzner, P., Delbaen, F., Eber, J.M., Heath, D.: Coherent Measures of Risk. Mathematical Finance 9, 203–228 (1999)
Berin, B.N.: The fundamentals of pension mathematics. Society of Actuaries. Schaumburg, Illinois (1989)
Bodie, Z.: On the Risks of Stocks in the Long Run. Financial Analysts Journal 51(3), 68–76 (1995)
Bodie, Z., Merton, R.C., Samuelson, W.F.: Labor Supply Flexibility and Portfolio Choice in a Lifecycle Model. Journal of Economic Dynamics and Control 16(3), 427–449 (1992)
Campbell, J., Viceira, L.: Strategic Asset Allocation Portfolio Choice for Long term Investors. Oxford University Press (2002)
Grosen, A., Jorgensen, P.: Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy and Regulatory Intervention Rules in a Barrier Option framework. Journal of Risk and Insurance 69(1), 63–91 (2002)
Hardy, M., Wirch, J.L.: The Iterated CTE: a Dynamic Risk Measure. North American Actuarial Journal 8, 62–75 (2004)
Lee, W.: Diversification and Time, Do Investment Horizons matter? Journal of Portfolio Management 4, 60–69 (1990)
Merton, R.: Continuous Time Finance. Wiley (1992)
Pflug, G., Romisch, W.: Modeling, Measuring and Managing Risk. World Scientific (2007)
Samuelson, P.: The Long Term Case for Equities. Journal of Portfolio Management 21(1), 15–24 (1994)
Thorley, S.: The Time Diversification Controversy. Financial Analyst Journal 51(3), 18–22 (1995)
Wirch, J.L., Hardy, M.R.: A synthesis of risk measures for capital adequacy. Insurance: Mathematics and Economics 25, 337–347 (1999)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Devolder, P., Piscopo, G. (2014). Solvency Analysis of Defined Benefit Pension Schemes. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-02499-8_13
Download citation
DOI: https://doi.org/10.1007/978-3-319-02499-8_13
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-02498-1
Online ISBN: 978-3-319-02499-8
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)