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

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.