Solvency Analysis of Defined Benefit Pension Schemes

Pierre Devolder () and Gabriella Piscopo ()
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Pierre Devolder: Université Catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Gabriella Piscopo: University of Genoa, Department of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 141-150 from Springer

Abstract: 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.

Keywords: Pension Fund; Pension Plan; Residual Time; Mortality Table; Define Benefit (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02499-8_13

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DOI: 10.1007/978-3-319-02499-8_13

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