We investigate risk presentations in retirement savings decisions using a discrete choice experiment where subjects choose between a bank account, a growth account and a 50:50 account. Using nine standard formats for investment risk, we analyze responses to risk per se and to format changes....

In this paper we consider two particular Canadian defined benefit pension plans to illustrate the importance of adequate mortality forecasting on actuarial liabilities. An employer who sets up an employee defined benefit pension plan promises to periodically pay a certain sum to the participant...

This paper outlines a method designed to help pension fund managers arrive at well substantiated policy decisions using asset/liability management (ALM) models. This is done by using techniques from the operations research literature on multi-criteria decision making and group decision support...

The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada,...

A well established believe in the pension industry is that collective pension funds should take more stock market risk (compared to individual retirement accounts) since risk may be shared with future generations. We extend the OLG model of Gollier (2008) by adding labor income risk in the...

Failure to correct for pension risk leads to upward-biased discount rate estimates in firms with pension risk exposure. The result is a negative and economically significant relation between pension risk and corporate investment. The effect is confined to investment decisions that require...

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

We use a modified corporate risk management framework (e.g., Froot and Stein, 1998) to understand how inefficient risk sharing between firms and employees leads to aggressive investment policies of defined corporate pensions as well as their declining popularity. For reasonable parameter values,...

Many pension funds have a mismatch between assets and liabilities, taking more risks than securing liabilities implies. This puts fixed claims of retirees at risk. For the cases with and without macro-risk, this paper analyses the implications of this asset-liability mismatch for welfare,...

Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure its robustness to distributional uncertainty by...