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Practice paper

Managing the riskiness of defined contribution pension funds in a fair-valuation context

Albina Orlando and Massimiliano Politano
Journal of Risk Management in Financial Institutions, 3 (2), 184-193 (2010)
https://doi.org/10.69554/MMKS3325

Abstract

With reference to a defined contribution pension scheme, this paper investigates the computation of suitable risk indicators in a fair-valuation context. This subject involves theoretical issues about the choice of the models for the dynamics of interest and mortality rates. The risk analysis is performed by computing the expected tail loss in a stochastic financial and demographic scenario. Numerical applications illustrate the impact of such evaluations on the reserve quantification in a Monte Carlo simulation framework.

Keywords: defined contribution pension funds; fair value; expected tail loss; mathematical reserve

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Author's Biography

Albina Orlando is a researcher at the Italian National Research Council. Her research interests are in numerical modelling for finance and insurance.

Massimiliano Politano is a full researcher at Universita` di Napoli ‘Federico II’, Dipartimento di Matematica e Statistica.

Citation

Orlando, Albina and Politano, Massimiliano (2010, March 1). Managing the riskiness of defined contribution pension funds in a fair-valuation context. In the Journal of Risk Management in Financial Institutions, Volume 3, Issue 2. https://doi.org/10.69554/MMKS3325.

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cover image, Journal of Risk Management in Financial Institutions
Journal of Risk Management in Financial Institutions
Volume 3 / Issue 2
© Henry Stewart
Publications LLP

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