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A New Risk Metric for Defined Benefit Pension Plans
A New Risk ... continue to use the 30-year lump sum example: Table 1 Surplus/Deficit Risk Metric Percentile Year ... value of assets at the specified time. Table 2 Assets Percentile Year 0 Year 10 Year 20 ...- Authors: Thomas D Bergan, David Fishbaum
- Date: Oct 2006
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Practice Forum
- Topics: Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Defined benefit plans; Pensions & Retirement>Pension investments & asset liability management; Pensions & Retirement>Risk management
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Longevity Greeks: What Insurers and Capital Market Investors Should Know About?
of conditional heteroskedas- ticity. Reported in Table 1, the test results reject the null hypothesis that ... the estimates of θ, ω, a and b are reported in Table 2. The existence of conditional heteroskedasticity ...- Authors: Kenneth Zhou, Siu-Hang Li
- Date: Jul 2017
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Demography>Longevity; Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Risk management