Solvency Analysis of defined benefit pension schemes
(2014) Mathematical and Statistical Methods for Actuarial Sciences and Finance — ISBN: [978-3-319-02499-8], p. 141-150, published
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- Abstract
- Defined Benefit Pension Schemes (DB) are affected by a lot of different risks able to put in danger the viability of the system. A solvency analysis seems therefore to be essential as in insurance but it must take into account the specificities of pension liabilities. In particular, pension funds are characterized by a long term aspect and a limited need of liquidity. In this perspective, the purpose of this paper is to combine the three major risks affecting a DB plan (market, inflation and longevity risks) and to look at their effect on the solvency of the pension fund.
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Devolder, P., & Piscopo, G. (2014). Solvency Analysis of defined benefit pension schemes. In Marco Corazza, Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance (p. p. 141-150). Springer International Publishing. https://doi.org/10.1007/978-3-319-02499-8