Financial Risk Management for Pension Plans

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This book is devoted to modern methodologies of financial riskmanagement of pension plans, mostly defined benefit plans. The readeris expected to know basic probability theory and mathematical analysis,while all required concepts in financial and actuarial mathematics aredeveloped in the text. The book outlines basic actuarial valuationconcepts and then presents actuarial funding and valuation methods fordefined benefit plans, and discusses their relationship to other typesof pension plans. Optimal funding methodologies are developed in simpledeterministic and in stochastic cases. The question of measurement ofrate of return of a fund is analyzed in detail, pointing out how thechoice of a market index affects it. The problem of stability of thevalue of liabilities is analyzed as well. Modern investment theory,including equilibrium and arbitrage models, is used to discuss ways tovalue both marketable and non-marketable assets, as well asliabilities. All commonly used methodologies of valuation of assets arelisted and analyzed. Finally, financial risk management for pensionplans is presented in detail, with emphasis on applicableasset-liability management methodologies. This portion of the bookstarts with the basics: duration, convexity, immunization, and developsalternative immunization methodologies, as well as other riskmanagement tools, such as Value-at-Risk, Risk-Based-Capital, andshortfall constraint approach. A new optimal methodology, analternative to classical immunization, is developed, and shown to bestrikingly similar to conservative management approaches used bypractitioners. Throughout the book, all concepts and methodologies areillustrated with examples and exercises, including past problems fromthe Society of Actuaries and Casualty Actuarial Society professionalexaminations (used with permission).

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关键词：Management financial Managemen inancial Financia discusses valuation concepts expected required

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L. Gajek, K.M. Ostaszewski “Financial Risk Management for Pension Plans"