Stochastic Actuarial Modelling of a Defined-Benefit Social Security Pension Scheme: An Analytical Approach

A Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming

We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors:  due to the longevity of the    PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...

Optimal risk management in defined benefit stochastic pension funds

We consider a continuous time dynamic pension funding model in a defined benefit plan of an employment system. The benefits liabilities are random, given by a geometric Brownian process. Three different situations are studied regarding the investment decisions taken by the sponsoring employer: in the first, the fund is invested at a constant, risk-free rate of interest; in the second, the promo...

International Social Security Association Seminar on financial and actuarial bases of pension schemes

A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes ABSTRACT OF THE DISCUSSION

OF THE DISCUSSION Professor S. Haberman, F.I.A. (introducing the paper): Firstly I thank the Pensions Board for setting up the Working Party over two years ago and for their support during the period of our research and deliberations. Our paper is quite long. We hope that the discussion will focus on our principal recommendations, set out in Section 4, and the practical implementation and commu...

Optimal funding of a defined benefit pension plan

In this paper, we address the issue of determining the optimal contribution rate of a stochastic defined benefit pension fund. The affiliate’s mortality is modelled by a jump process and the benefits paid at retirement are function of the evolution of stochastic salaries. Assets of the fund are invested in cash, stocks and a rolling bond. Interest rates are driven by a Vasicek model. The object...