Cover table of contents pension fund risk management; financial and actuarial modeling

Gregoriou Giovanni Batista Masala CHAPMAN & HALL/CRC FINANCE SERIES Pension Fund Risk Management Financial and Actuarial Modeling © 2010 by Taylor and Francis Group, LLC... Library of C

Edited by

Marco Micocci Greg N Gregoriou

Giovanni Batista Masala

CHAPMAN & HALL/CRC FINANCE SERIES

Pension Fund

Risk Management

Financial and Actuarial Modeling

© 2010 by Taylor and Francis Group, LLC

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Library of Congress Cataloging-in-Publication Data

Pension fund risk management : financial and actuarial modeling / editors, Marco

Micocci, Greg N Gregoriou, and Giovanni Batista Masala

p cm (Chapman & hall/crc finance series ; 5)

Includes bibliographical references and index

ISBN-13: 978-1-4398-1752-0 (alk paper)

ISBN-10: 1-4398-1752-9 (alk paper)

1 Pension trusts 2 Risk management I Micocci, Marco II Gregoriou, Greg N.,

1956- III Masala, Giovanni Batista IV Title V Series

HD7105.4.P464 2010

658.3’253 dc22 2009030223

Visit the Taylor & Francis Web site at

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© 2010 by Taylor and Francis Group, LLC

Contents

Preface, ix

Editors, xvii

Contributor Bios, xix

Contributors, xxxiii

I

PART Financial Risk Management

1

CHAPTER ◾ Quantifying Investment Risk in Pension Funds 003

SHANE FRANCIS WHELAN

2

CHAPTER ◾ Investment Decision in Defi ned Contribution

Pension Schemes Incorporating Incentive

Mechanism 039

BILL SHIH-CHIEH CHANG AND EVAN YA-WEN HWANG

3

CHAPTER ◾ Performance and Risk Measurement

AUKE PLANTINGA

4

AIHUA ZHANG

© 2010 by Taylor and Francis Group, LLC

vi ◾ Contents

5

CHAPTER ◾ Mean–Variance Management in Stochastic

Aggregated Pension Funds with Nonconstant

RICARDO JOSA FOMBELLIDA

6

RICARDO MATOS CHAIM

7

CHAPTER ◾ Pension Fund Asset Allocation under

Uncertainty 157

WILMA DE GROOT AND LAURENS SWINKELS

8

CHAPTER ◾ Different Stakeholders’ Risks

THEO KOCKEN AND ANNE DE KREUK

9

CHAPTER ◾ Financial Risk in Pension Funds: Application

MARCIN FEDOR

10

CHAPTER ◾ Pension Scheme Asset Allocation with

Taxation Arbitrage, Risk Sharing, and Default Insurance 211

CHARLES SUTCLIFFE

II

PART Technical Risk Management

11

PABLO ANTOLIN

12

CHAPTER ◾ Actuarial Funding of Dismissal and

WERNER HÜRLIMANN

Contents ◾ vii

13

CHAPTER ◾ Retirement Decision: Current Infl uences

on the Timing of Retirement among Older

Workers 287

GAOBO PANG, MARK J WARSHAWSKY, AND BEN WEITZER

14

CHAPTER ◾ Insuring Defi ned Benefi t Plans in Germany 315

FERDINAND MAGER AND CHRISTIAN SCHMIEDER

15

CHAPTER ◾ The Securitization of Longevity Risk

SUSANNA LEVANTESI, MASSIMILIANO MENZIETTI, AND TIZIANA TORRI

III

PART Regulation and Solvency Topics

16

CHAPTER ◾ Corporate Risk Management and Pension

YONG LI

17

CHAPTER ◾ Competition among Pressure Groups over

the Determination of U.K Pension Fund

PAUL JOHN MARCEL KLUMPES AND STUART MANSON

18

CHAPTER ◾ Improving the Equity, Transparency, and

Solvency of Pay-as-You-Go Pension Systems:

CARLOS VIDAL-MELIÁ, MARÍA DEL CARMEN BOADO-PENAS,

AND OLE SETTERGREN

19

CHAPTER ◾ Risk-Based Supervision of Pension Funds

DIRK BROEDERS AND MARC PRÖPPER

© 2010 by Taylor and Francis Group, LLC

viii ◾ Contents

20

CHAPTER ◾ Policy Considerations for Hedging Risks in

Mandatory Defi ned Contribution Pensions

GREGORIO IMPAVIDO

21

CHAPTER ◾ Pension Risk and Household Saving over

DAVID A LOVE AND PAUL A SMITH

IV

PART International Experience in Pension Fund Risk

Management

22

CHAPTER ◾ Public and Private DC Pension Schemes,

Termination Indemnities, and Optimal

MARCO MICOCCI, GIOVANNI B MASALA, AND GIUSEPPINA CANNAS

23

CHAPTER ◾ Effi ciency Analysis in the Spanish Pension

CARMEN-PILAR MARTÍ-BALLESTER AND DIEGO PRIOR-JIMÉNEZ

24

CHAPTER ◾ Pension Funds under Investment Constraints:

An Assessment of the Opportunity Cost

NIKOLAOS T MILONAS, GEORGE A PAPACHRISTOU,

AND THEODORE A ROUPAS

25

CHAPTER ◾ Pension Fund Defi cits and Stock Market

Effi ciency: Evidence from the

WEIXI LIU AND IAN TONKS

26

CHAPTER ◾ Return-Based Style Analysis Applied

LAURA ANDREU, CRISTINA ORTIZ, JOSÉ LUIS SARTO, AND LUIS VICENTE

INDEX, 707