This paper was prepared for presentation at the June 2002 Conference entitled “Developing an Annuity Market inEurope”, sponsored by the Center for Research on Pensions and Welfare Policies, University of Turin, Italy. Theresearch was supported in part by the Pension Research Council at the...

"Some research has suggested that companies with defined benefit (DB) pensions are sometimes significantly misvalued by the market. This is because the measures of pension cost and pension net liabilities embedded in financial statements, taken at face value, can provide very misleading picture...

Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk...