For many pension schemes, a shortage of data limits their ability to use sophisticated stochastic mortality models to assess and manage their longevity risk. In this study, we develop a relative model for mortality, which compares the evolution of mortality rates in a sub-population with that...

This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

This paper uses stochastic simulations on calibrated models to assess the optimal degree of reliance on fun ded pensions and on a particular type of unfunded (PAYG) pension. Surprisingly little is known about the optimal split between funded and unfunded systems when there are sources of...

Defined contribution (DC) plans are playing a larger role in pension systems around the world. Pension supervisory authorities are consequently asking if their oversight approaches need to adapt to this development – given that the risks within DC systems are born by the plan members...

Between 2012 and 2020, U.S. corporate sponsors of defined benefit (DB) pension plans transferred around $100 billion pension obligations for more than one million plan participants to insurance companies using pension risk transfers (PRTs). We model PRT decisions as an option exercise problem...

In this paper we analyze the impact hedging longevity risk can have on a pension fund's funding ratio volatility and ALM strategy. Our model captures all relevant aspects of the ALM problem and is calibrated to industry statistics; however, we've sacrificed model complexity to make the solution...

This study proposes a novel structured product (SP) among the basket of financial products sold to pension fund members. The product offers to hedge defined contribution (DC) pension portfolio members against capital market risk. Based on trading risk-free government bonds and call options on a...

This study examines whether expected rate of return (ERR) manipulation is related to disclosure of pension asset allocation. FAS 132R(1), which requires firms to disaggregate the detailed categories of pension asset allocation, provides a natural experiment for studying the effect of enhanced...

The large declines in equity markets observed in the United Kingdom and the United States in 2001-2002 had a significant impact on the retirement funds of many individuals approaching retirement. This decline in markets and savings offers a natural experiment from which we examine how...

There has been a surge of interest in recent years from defined benefit pension plan sponsors in de-risking their plans with strategies such as “longevity hedges” and “pension buyouts” (Lin et al., 2015). While buyouts are attractive in terms of value creation, they are capital intensive...