Solvency analysis of defined benefit pension schemes

Devolder, Pierre;Piscopo, Gabriella
(2012) , 10 pages

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  • Devolder, PierreUCLouvain
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  • Piscopo, GabriellaUniversity of Genova, Italy
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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 specicities 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. (2012). Solvency analysis of defined benefit pension schemes (ISBA Discussion Paper 2012/30). https://hdl.handle.net/2078.5/204650