Simulation Analysis for Evaluating Risk-sharing Pension Plans
|
|
- Beryl Edwards
- 6 years ago
- Views:
Transcription
1 PBSS Webinar December 14, 2016 Simulation Analysis for Evaluating Risk-sharing Pension Plans Norio Hibiki Masaaki Ono Keio University Mizuho Pension Research Institute This slide can be downloaded from
2 Biography Norio Hibiki is a professor of the Faculty of Science and Technology at Keio University in Japan. He received his B.E., M.E., and Ph.D. degrees in administration engineering from Keio University in 1988, 1990, and 1994, respectively. His major field is financial engineering, and he is especially interested in portfolio optimization, financial risk management, asset and liability management in bank, pension fund and insurance company, and household financial engineering. He is a fellow of the Operations Research Society of Japan. Masaaki Ono is a Research Fellow at Mizuho Pension Research Institute, a Fellow of the IAJ and a Certified Pension Actuary. He graduated from the University of Tokyo with a Bachelor s degree in science. He has been a Vice President of the IAJ since 2013 and chairs its Pension and Health Committee. He used to be the IAJ delegate to the Pensions and Employee Benefits Committee of the IAA until As for the public activities, he is now an acting member of two subcommittees in the Labor and the SME policy fields. 1
3 Contents 2. Models concerning Corporate Pension Plan Overview: Plan Design Risk-sharing plan Evaluation of utility Analysis using the Monte Carlo simulation Base : Comparison of DB, DC, CB and risk-sharing plans Sensitivity of five parameters of risk-sharing plan Sensitivity of management fee 4. Backtesting From March 1995 to March 2015 (20 years) 5. Conclusion Keywords : Risk-sharing, Investment Risk, Simulation 2
4 Introduction The occupational pensions become more important to complement the public pension. However, the traditional occupational s have some weakness for their sustainability or stability of benefits. DB (defined benefit) plan: It is difficult for a sponsoring company to make additional payments of the contribution for lack of the plan asset under the worse investment condition. DC (defined contribution) plan: We have a problem concerning stability of the pension which supports the living expenses in retirement. Recently, occupational pensions with new types of risk-sharing functions have been proposed; DA (defined ambition) plan in the U.K., target benefit plan in Canada, FTK2 in the Netherland, risk-sharing DB plan in Japan 3
5 Previous Studies Hoevenaars & Ponds (2008) Kocken (2012) Kortleve (2013) Turner (2014) Hardy (2015) Valuing intergenerational transfers in collective s Examining two kinds of valuation techniques for pension liabilities in risk-sharing s Describing a new Dutch pension contract generically labeled defined ambition(da) plans Evaluating a number of hybrid s Hybrid DB plans in the Netherlands Nonfinancial DC plan in Sweden Cash balance plans in the United States, Canada and Japan Riester plans in Germany Reviewing target benefit plan, and evaluating the plans through simulations of economic variables to assess risks and benefits The plan design in practice is discussed mainly in a qualitative manner, and there are some researches about the plan designs discussed specifically and quantitatively. 4
6 Purpose and contribution of our paper We propose a risk-sharing design, which involves a mechanism of sharing the deficiency and surplus in accordance with the funding ratio, and evaluate it quantitatively using Monte Carlo simulation approach. We formulate the simulation model with five parameters to control the level of risk-sharing. We conduct the sensitivity of the five parameters, and suggest how those parameters affect the plan design. We find the benefits and the contributions of the risk-sharing plan are not only at the level intermediate between the DC and DB plans because of the risk-sharing features, but also superior to them in some cases. We implement the backtest using the historical data, and examine the actual effect on four s for twenty years in Japan. 5
7 Models of Pension Plan Risks shared by stakeholders investment risk interest rate risk: incorporated in the plan design longevity risk and inflation risk: excluded due to historical background in Japan Stakeholders A sponsoring company Active participants Retirees 6
8 Problem: Setting 20 years old 65 years old 79 years old Working period (funding period) benefit period Four kinds of s: DC, DB, CB, Risk-sharing (RS) Match the size of all plans to compare them each other Assumption Number of persons of each age = 1 Set the same initial actuarial liability of active participants Set the same initial actuarial liability for DC, CB and RS plans Initial plan asset = Initial actuarial liability (Funding ratio = 1) Receive benefit/pay contribution at the beginning of each year 7
9 Actuarial liability Benefit Contribution Plan asset Design of DC, DB and CB plans DC plan DB plan CB plan Calculate based on Calculate based on Equal to expected yield of real yield of 10- plan asset 10-year government year government bond bond Calculate based on actuarial liability Normal contribution Calculate based on portfolio return Real benefit = 1 at retirement age, and nominal benefit is fixed in benefit period Normal contribution (with 150% rule) + Amortization Calculated based on portfolio return Calculate based on actuarial liability Normal contribution (with 150% rule) + Amortization Calculated based on portfolio return 8
10 Risk-sharing Pension Plan (1) Sharing investment risk based on the actuarial liability and benefit calculated for the CB plan Risk-sharing design, which involves a mechanism of sharing the deficiency and surplus in accordance with the funding ratio Five parameters to control the level of risk-sharing Trigger parameters: Sharing parameters: 9
11 Risk-sharing Pension Plan (2) deficiency-sharing no-sharing surplus-sharing ex) Funding ratio 10
12 Risk-sharing Pension Plan (3) Shared fraction of deficiency(+)/surplus(-) at period n 11
13 Risk-sharing Pension Plan (4) amortization normal contribution decumulation 12
14 Risk-sharing Pension Plan (5) benefit of CB plan 13
15 Risk-sharing Pension Plan (6) Actuarial liability of CB plan 14
16 Evaluation of utility 15
17 Evaluation measures 16
18 Evaluation measures(2) 17
19 Numerical Analysis (1) Numerical Analysis using the Monte Carlo simulation approach Base : Comparison of risk-sharing plan with DC, DB and CB plans Sensitivity of five parameters of risk-sharing plan 18
20 Numerical Analysis (2) Generating random samples of nominal rate of return, which are normally distributed Expected return, standard deviation and correlation These parameters are based on the parameters used in order to derive the new policy asset mix for the third medium-term plan published by Government Pension Investment Fund in Japan 19
21 Numerical Analysis (3) -Setting for sensitivity - 20
22 Base (1) - Comparison of DB, DC, CB and risk-sharing (RS) plans - Percentiles of the distribution of actuarial liability (Case Aa) Variability among four plans Calculate based on DB: Expected yield of 10-year government bond CB: Real yield of 10- year government bond RS: adjustment of CB DC: portfolio return 21
23 Base (2) - Comparison of DC, DB, CB and risk-sharing (RS) plans - Percentiles of the distributions of benefit in Case Aa Variabilities among four plans DC plan: Benefit is based on actuarial liabilities calculated using portfolio return. DB plan: Benefit is fixed to 1 at retirement. CB < RS: Benefit of RS plan is adjusted by the funding ratio. 22
24 Base (3) - Comparison of DC, DB, CB and risk-sharing (RS) plans - Percentiles of the distributions of contribution in Case Aa DB and CB plans: Shapes of distributions are similar, and contributions do not become negative. Risk-sharing plan: Contributions can become negative, and it is possible to decrease cost of a sponsoring company. The 99th percentile 0-60 (except DC plan) 23
25 Base (4) - Comparison of DC, DB, CB and risk-sharing (RS) plans - Mean-CVaR diagram in Case Aa Distributions become stable when about forty years pass We evaluate means and CVaRs in the latter sixty years of the simulation period Relationship of CVaRs among four plans Benefit Contribution 24
26 Base (5) - Comparison of four plans: Mean-CVaR diagram - Return (A) Return (B) Return (C) Portfolio [b] Portfolio [a] 25
27 Base (6) - Comparison of DC, DB, CB and risk-sharing (RS) plans - CVaR of Benefit CVaR of Contribution The relationship of CVaRs of four plans is not dependent on the portfolio returns 26
28 Sensitivity (1) - Trigger parameters in Case Aa - 35 T(1) 35 T(2) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) T(1) T(2) The parameters T(1) and T(2) are related with the funding ratio which triggers the deficiency/surplus-sharing. The CVaR of the contribution is sensitive to T(1) due to deficiency-sharing, but the other measures are a little bit sensitive to T(1) and T(2). 27
29 Sensitivity (2) - Sharing parameters - benefit contribution Who share the fraction? mean CVaR mean CVaR K(i) 1 - K(i) K(0) -/+ + -/+ + sponsor participants/retirees K(1) -/+ + -/+ + sponsor K(2) +/- - +/- - retiree participants Case Aa 'mean' is dependent on portfolio return: high return / low return K(0) K(1) K(2) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) K(0) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) K(1) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) K(2) 28
30 Sensitivity (3) - Sharing parameters in Cases Ba and Ca - Case Ba K(0) K(1) K(2) K(0) Case Ca Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) K(1) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) K(2) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) K(0) K(1) K(2) 29
31 Sensitivity (4) - Management fees for four plans in Case Aa DC plan DB plan Mean (Benefit) CVaR_95% (Benefit) Contribution (Constant ) management fee (bp) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) management fee (bp) CB plan Risk-sharing plan Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) management fee (bp) Mean (Benefit) CVaR_95% (Benefit) Mean (Contribution) CVaR_95% (Contribution) management fee (bp) 30
32 Sensitivity (5) - Management fees for four plans - Sensitivity of the benefits and contributions to the management fee 31
33 Backtesting - Setting - Backtest period: From March 1995 to March 2015 (twenty years) Historical data Domestic stock (DS): TOPIX (Tokyo Stock Price Index) Domestic bond (DB): JPGBI (Citigroup Japan Government Bond Index) Foreign stock (FS): S&P500 (Standard & Poor's 500 Stock Index) Foreign bond (FB): USGBI (Citigroup USA Government Bond Index) Inflation rate: Wage growth rate, calculated using monthly labor survey 10-year government bond yield Dollar-yen exchange rate (center value of interbank spot rate) Japanese yen interest rate: one-year Euroyen TIBOR Dollar interest rate: one-year Eurodollar interest rate 32
34 Index(1995=1) Backtesting - Historical Data - Market Index TOPIX Citi_JPGBI S&P500 Citi_USGBI year government bond yield 7 (%) Yen/Dollar Yen-Dollar exchange rate Wage growth rate
35 Backtesting - Result(1) - Portfolio weights (Constant rebalance strategy) Cumulative returns (on a yen basis) No hedge Perfect hedge mean 9% 8% 7% 6% 5% 4% 3% 2% Mean and standard deviation of annual rate of return b b a a 0% 10% 20% 30% standard deviation c c No hedge Perfect hedge 34
36 Backtesting - Result(2): No hedging strategy - Portfolio [a] Portfolio [b] Portfolio [c] Contribution contribution contribution contribution Benefit benefit benefit benefit 35
37 Backtesting - Result(3): Mean-CVaR diagram - mean Benefit DC(c) DC(a) DC(b) DB Portfolio [a] Portfolio [b] Portfolio [c] RS(c) RS(a) RS(b) CB mean Contribution DC DB(b) DB(a) CB(b) DB(c) CB(a) CB(c) RS(b) Portfolio [a] RS(a) Portfolio [b] Portfolio [c] CVaR(95%) -6 RS(c) 5.06 CVaR(95%) Mean benefit among the four plans Mean contribution among the four plans CVaRs of benefits CVaRs of contributions 36
38 Conclusion In this paper, we design the risk-sharing using the five parameters which control the level of risk sharing. We implement the Monte Carlo simulation for a long-term period, and evaluate the uncertainty of benefits and contributions. Moreover, we compare the RS plan with the existing DC, DB, and CB plans, and we find the benefit and contribution of the RS plan are not only between the DC and DB plans, but also superior to them in some cases. In the future research, we compare the risk-sharing plan proposed in this paper with the intermediate plan which consists of the weighted plan of the DC and DB plans. In addition, we need to formulate the optimization model, which solve the problem to find the optimal parameter values of controlling the risk-sharing. 37
39 References Beetsma, R., W.Romp, S. Vos. Voluntary participation and intergenerational risk sharing in a funded pension system, European Economic Review, 56 (2012), Bovenberg, L. and R. Mehlkopf, Optimal Design of Funded Pension Schemes, Annual Review of Economics, 6 (2014), Cui, J., F. De Jong and E. Ponds, Intergenerational risk sharing within funded pension schemes, Journal of Pension Economics and Finance, 10-1 (2011), Department of Finance, Canada, Consultation Paper - Pension Innovation for Canadians: The Target Benefit Plan, April Gollier, C., Intergenerational risk-sharing and risk-taking of a pension fund, Journal of Public Economics, 92 (2008), Government Pension Investment Fund, Adoption of New Policy Asset Mix, October 31, Hardy, M., Reviewing Target Benefit Pension Plans, IAA Colloquium (Oslo, Norway), Hoevenaars, R. and E. Pond, Valuation of intergenerational transfers in funded collective pension schemes, Insurance: Mathematics and Economics, 42 (2008), Hollanders, D., The political economy of intergenerational risk sharing, Netspar Discussion Paper 01/ T. Kochen, Pension Liability Measurement and Intergenerational Fairness: Two Case Studies, Rotman International Journal of Pension Management, Vol.5, Issue 1(2012), pp N. Kortleve, The "Defined Ambition" Pension Plan: A Dutch Interpretation, Rotman International Journal of Pension Management, Vol.6, Issue 1(2013), pp Ministry of Health, Labour and Welfare, Monthly Labour Survey. Ministry of Health, Labour and Welfare, the Committee for Pension, the Social Security Council, On the subject of flexible operation of defined benefit, September 11, 2015 (in Japanese). Molenaar, R.D. and E. Ponds, Risk sharing and individual life-cycle investing in funded collective pensions, Journal of Risk, (Winter 2012/13), 15-3, Turner, J., Hybrid Pensions: Risk Sharing Arrangements for Pension Plan Sponsors and Participants, February van Hemert, O., Optimal intergenerational risk sharing, Discussion paper: UBS Pensions Series 037, 541. Financial Markets Group, London School of Economics and Political Science, London, UK. Westerhout, E., Intergenerational Risk Sharing in Time-Consistent Funded Pension Schemes, CPB Discussion Paper, No.176, April Kamiyama, T. and K. Tanaka, Discussion of Collective Defined Contribution in the UK, Nomura Capital Market Quarterly, 17-3(2014). (in Japanese) 38
40 Thank you for your attention Our paper can be downloaded from This slide can be downloaded from 39
41 Appendix
42 Actuarial liability Actuarial liability of age x, period n, and scenario s DC and CB plan DB plan Actuarial liability of period n, and scenario s 41
43 Benefit Benefit of age x, period n and scenario s DC and CB plan DB plan Benefit of period n and scenario s 42
44 Contribution Contribution of period n and scenario s DC plan DB and CB plan Normal contribution without amortization Amortization 150% Rule Normal contribution
45 Plan asset Plan asset of period n, and scenario s DC plan DB and CB plan 44
46 Backtesting - Result(4): hedging strategy - Portfolio [a] Portfolio [b] Portfolio [c] Contribution contribution contribution contribution Benefit benefit benefit benefit 45
47 Backtesting - Result(5): Mean-CVaR diagram - mean mean DC(c) Portfolio [a] Portfolio [b] Portfolio [c] DC(a) RS(a) RS(c) DC(b) RS(b) CB DB DC(a) Benefit Portfolio [a] Portfolio [b] Portfolio [c] Benefit CVaR(95%) Benefit DC(b) RS(b) CB RS(c) CVaR(95%) RS(a) mean DC, CB(b) RS(b) Contribution Portfolio [a] Portfolio [b] Portfolio [c] CB(a) RS(a) DB(b) CB(c) RS(c) DB(a) DB(c) CVaR(95%) Mean benefit among the four plans CVaRs of benefits: Mean contribution among the four plans CVaRs of contributions differ depending on the portfolios 46
Keywords: pension, collective DC, investment risk, target return, DC, Monte Carlo simulation
A Confirmation of Kocken s Proposition about the Intergenerational Risk Transfer within pension plans by Monte Carlo Simulations Ken Sugita * April, 2016 (Updated: June, 2016) Using Monte Carlo simulations,
More informationAsset Allocation Model with Tail Risk Parity
Proceedings of the Asia Pacific Industrial Engineering & Management Systems Conference 2017 Asset Allocation Model with Tail Risk Parity Hirotaka Kato Graduate School of Science and Technology Keio University,
More informationLu Yi MSc Candidate Simon Fraser University
Lu Yi MSc Candidate Simon Fraser University 1 DB Plan DC Plan risks Employer risks Employees risks risks 2 Between employers and employees Across different generations: Different age groups have different
More informationAn Integrated Risk Management Model for Japanese Non-Life Insurers. Sompo Japan Insurance Inc. Mizuho DL Financial Technology 25 February 2005
An Integrated Risk Management Model for Japanese Non-Life Insurers Sompo Japan Insurance Inc. Mizuho DL Financial Technology 25 February 2005 Contents 1. Background 2. Model Overview 3. Scenario Generator
More informationThe impact and implication of the 2016 pension legislative revision in Japan
The impact and implication of the 2016 pension legislative revision in Japan Kenji Kusakabe Mizuho Trust & Banking Co.,Ltd. 1-17-7, Saga, Koto-ku, Tokyo 135-0031 E-mail: kenji.kusakabe@mizuhotb.co.jp Abstract
More informationNew Trend of severance and retirement benefits in Japan Yoshihiro Oyama
New Trend of severance and retirement benefits in Japan Yoshihiro Oyama Certified Pension Actuary, Pension Advisory Department, Sumitomo Mitsui Trust Bank, Limited 1-4-1, Marunouchi, Chiyoda-ku, Tokyo
More informationTHE IMPLICATIONS OF LONGEVITY FOR RISK-SHARING IN PUBLIC AND PRIVATE PENSION SCHEMES
THE IMPLICATIONS OF LONGEVITY FOR RISK-SHARING IN PUBLIC AND PRIVATE PENSION SCHEMES Chris Daykin, UK Government Actuary Chairman, PBSS Section of IAA Helsinki, 21 May 2007 POPULATION AGEING Expectation
More informationA Study on Optimal Limit Order Strategy using Multi-Period Stochastic Programming considering Nonexecution Risk
Proceedings of the Asia Pacific Industrial Engineering & Management Systems Conference 2018 A Study on Optimal Limit Order Strategy using Multi-Period Stochastic Programming considering Nonexecution Ris
More informationREVIEWING TARGET BENEFIT PENSION PLANS. Mary Hardy University of Waterloo IAA Colloquium June 2105
REVIEWING TARGET BENEFIT PENSION PLANS Mary Hardy University of Waterloo IAA Colloquium June 2105 Outline 1. What is a Target Benefit Plan? 2. Some Pension Benefit experiments i. The demographics and assumptions
More informationOptimal investment strategies and intergenerational risk sharing for target benefit pension plans
Optimal investment strategies and intergenerational risk sharing for target benefit pension plans Yi Lu Department of Statistics and Actuarial Science Simon Fraser University (Joint work with Suxin Wang
More informationMulti-Period Stochastic Programming Models for Dynamic Asset Allocation
Multi-Period Stochastic Programming Models for Dynamic Asset Allocation Norio Hibiki Abstract This paper discusses optimal dynamic investment policies for investors, who make the investment decisions in
More informationApplication of ERM to Private Pension
Application of ERM to Private Pension Katsuhiro Yagura Certified Pension Actuary Fellow of the Institute of Actuaries of Japan Session Number: WBR10 Contents 1. Private Pension 2 2. ERM 10 3. Case Studies
More informationShould I Stay or Should I Go? Break Even Funding Ratios for DB Pension Plan Participants
Roderick Molenaar, Kim Peijnenburg, Eduard Ponds Should I Stay or Should I Go? Break Even Funding Ratios for DB Pension Plan Participants Discussion Paper 04/2011-027 Electronic copy available at: http://ssrn.com/abstract=1813997
More informationEvaluation Criteria for Pension System and Their Applications to Pension Reform in Japan
Evaluation Criteria for Pension System and Their Applications to Pension Reform in Japan Prepared by Miki Arimori Presented to the PBSS Program Part of the IACA, PBSS & IAAust Colloquium 31 October 5 November
More informationAbout the IAA volunteer actuaries
Introduction 3 Founded in 1895 as continuation of the Comité Permanent des Congrès d Actuaires Renamed IAA in 1968 Restructured in 1998 Based in Ottawa, Canada constituted in Switzerland Unique international
More informationThe comparison of different implementations of the holistic balance sheet for pension funds
The comparison of different implementations of the holistic balance sheet for pension funds by Karin Janssen (619969) A thesis submitted in partial fulfillment of the requirements for the degree of Master
More informationTHE GROSS AND NET RATES OF REVENUES REPLACEMENT WITHIN THE RETIRING PENSIONS
THE GROSS AND NET RATES OF REVENUES REPLACEMENT WITHIN THE RETIRING PENSIONS Tudor Colomeischi Department of Computer Science, Stefan cel Mare University of Suceava, ROMANIA. tudorcolomeischi@yahoo.ro
More informationMulti-period ALM Optimization Model for a Household
Multi-period ALM Optimization Model for a Household Norio Hibiki É, Katsuya Komoribayashi y, Nobuko Toyoda z July 9, 25 Abstract Asset and liability management tools can be used for giving an ånancial
More informationSelecting Discount Rates for Assessing Funded Status of Target Benefit Plans
Selecting Discount Rates for Assessing Funded Status of Target Benefit Plans Chun-Ming (George) Ma University of Hong Kong gma328@hku.hk 1 Agenda Discount Rate Controversy Brief History of DB Funding Regimes
More informationNegative Interest Rates and Defined Benefit Obligations
Negative Interest Rates and Defined Benefit Obligations Eriko KASAOKA* Abstract In January 2016, the Policy Board of the Bank of Japan introduced its policy of Introduction of Quantitative and Qualitative
More informationTHE FUTURE OF (PARTIALLY) FUNDED PENSION SYSTEMS
THE FUTURE OF (PARTIALLY) FUNDED PENSION SYSTEMS Presentation at OECD, 21 June 2017 Joshua D. Rauh Ormond Family Professor of Finance, Stanford GSB Senior Fellow, Hoover Institution Senior Fellow, Stanford
More informationValue-based generational accounting and the current pension reform in the Netherlands
CPB Netherlands bureau for economic policy analysis Value-based generational accounting and the current pension reform in the Netherlands Guest lecture University of Amsterdam Roel Mehlkopf (Tilburg University,
More informationMeasuring Pension Funding. Peter Diamond April 17, 2018
Measuring Pension Funding Peter Diamond April 17, 2018 Pension plan types Traditional contributory plans Defined contribution (DC) Defined benefit (DB) Hybrid contributory plans Notional defined contribution
More informationCash Balance Pension Plans in Japan
Cash Balance Pension Plans in Japan -Current Situation and the Future- Takeshige Ota F.I.A.J Mitsubishi UFJ Trust and Banking Corporation 0 0 Introduction 1. Backgrounds 2. Current Situations of Cash Balance
More informationON THE ASSET ALLOCATION OF A DEFAULT PENSION FUND
ON THE ASSET ALLOCATION OF A DEFAULT PENSION FUND Magnus Dahlquist 1 Ofer Setty 2 Roine Vestman 3 1 Stockholm School of Economics and CEPR 2 Tel Aviv University 3 Stockholm University and Swedish House
More informationDefined-contribution pension schemes in Europe Risks and advantages for occupational retirement provision
Defined-contribution pension schemes in Europe Risks and advantages for occupational retirement provision Prepared for DC Pensions Conference, Dublin Dr Leonie Bell, Managing Consultant at Oxera Main messages
More informationTREVOR LLANWARNE GOVERNMENT ACTUARY UNITED KINGDOM
TREVOR LLANWARNE GOVERNMENT ACTUARY UNITED KINGDOM May 2012 ABOUT ME MORTALITY SOLVENCY II CURRENT ISSUES FOR UK ACTUARIES NEW STRATEGY FOR UK ACTUARIAL PROFESSION ABOUT ME UK Government Actuary since
More informationAn Outsider s Summary of the Dutch Pension System
An Outsider s Summary of the Dutch Pension System October 2017 Summary This memorandum begins with a broad overview of the Dutch pension system, and then examines in greater detail the structure of employment-based
More informationHow Pension Funds Manage Investment Risks: A Global Survey
Rotman International Journal of Pension Management Volume 3 Issue 2 Fall 2010 How Pension Funds Manage Investment Risks: A Global Survey Sandy Halim, Terrie Miller, and David Dupont Sandy Halim is a Partner
More informationBalancing Income and Bequest Goals in a DB/DC Hybrid Pension Plan
Balancing Income and Bequest Goals in a DB/DC Hybrid Pension Plan Grace Gu Tax Associate PwC One North Wacker Dr, Chicago, IL 60606 (312) 298 3956 yelei.gu@pwc.com David Kausch, FSA, FCA, EA, MAAA, PhD
More informationSOCIETY OF ACTUARIES Enterprise Risk Management Investment Extension Exam ERM-INV
SOCIETY OF ACTUARIES Exam ERM-INV Date: Tuesday, October 31, 2017 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total of 80 points. This exam consists
More informationDevelopments in pension reform: the case of Dutch stand-alone collective pension schemes
Int Tax Public Finance (2009) 16: 443 467 DOI 10.1007/s10797-009-9108-1 Developments in pension reform: the case of Dutch stand-alone collective pension schemes Lans Bovenberg Theo Nijman Published online:
More informationMarket Risk Disclosures For the Quarter Ended March 31, 2013
Market Risk Disclosures For the Quarter Ended March 31, 2013 Contents Overview... 3 Trading Risk Management... 4 VaR... 4 Backtesting... 6 Total Trading Revenue... 6 Stressed VaR... 7 Incremental Risk
More informationStifel Financial Corp. Market Risk Rule Disclosures For the Quarterly Period ended September 30, 2017
Stifel Financial Corp. Market Risk Rule Disclosures For the Quarterly Period ended September 30, 2017 1 Market Risk Disclosure Overview Stifel Financial Corp. ( SF ) is required to provide this market
More informationArticle from Retirement 20/20 Papers
Article from Retirement 20/20 Papers June 2018 Funding of Public Sector Pension Plans Chun-Ming (George) Ma, FSA, FCIA, Ph.D. Abstract Public sector pension plans in Canada have moved toward more risk
More informationDeutsche Bank Annual Report 2017 https://www.db.com/ir/en/annual-reports.htm
Deutsche Bank Annual Report 2017 https://www.db.com/ir/en/annual-reports.htm in billions 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Assets: 1,925 2,202 1,501 1,906 2,164 2,012 1,611 1,709 1,629
More informationBasel Committee on Banking Supervision. Guidelines. Standardised approach implementing the mapping process
Basel Committee on Banking Supervision Guidelines Standardised approach implementing the mapping process April 2019 This publication is available on the BIS website (www.bis.org). Bank for International
More informationRebalancing the Simon Fraser University s Academic Pension Plan s Balanced Fund: A Case Study
Rebalancing the Simon Fraser University s Academic Pension Plan s Balanced Fund: A Case Study by Yingshuo Wang Bachelor of Science, Beijing Jiaotong University, 2011 Jing Ren Bachelor of Science, Shandong
More informationCash Balance Plans: Valuation and Risk Management Cash Balance Plans: Valuation and Risk Management
w w w. I C A 2 0 1 4. o r g Cash Balance Plans: Valuation and Risk Management Cash Balance Plans: Valuation and Risk Management Mary Hardy, with David Saunders, Mike X Zhu University Mary of Hardy Waterloo
More informationUvA-DARE (Digital Academic Repository) Essays in pension economics and intergenerational risk sharing Vos, S.J. Link to publication
UvA-DARE (Digital Academic Repository) Essays in pension economics and intergenerational risk sharing Vos, S.J. Link to publication Citation for published version (APA): Vos, S. J. (2012). Essays in pension
More informationWisdomTree.com Currency Hedged Equities Q2 2018
WisdomTree.com 866.909.9473 Q2 2018 Ratio of MSCI to S&P The Dollar s Impact on Equities: ACWX (Unhedged) Relative to the S&P 500 1.7 1.6 1.5 1.4 1.3 U.S. Dollar Depreciation Cumulative: -25.52% Annualized:
More informationIntroduction of Stock Option Scheme as Stock-based Compensation
FOR IMMEDIATE RELEASE Introduction of Stock Option Scheme as Stock-based Compensation Tokyo, May 13, 2016 --- Hitachi, Ltd. (TSE: 6501, Hitachi ) resolved to introduce a policy to grant stock options as
More informationDynamic Asset and Liability Management Models for Pension Systems
Dynamic Asset and Liability Management Models for Pension Systems The Comparison between Multi-period Stochastic Programming Model and Stochastic Control Model Muneki Kawaguchi and Norio Hibiki June 1,
More informationCollective Defined Contribution Plans - Backtesting based on German capital market data
Collective Defined Contribution Plans - Backtesting based on German capital market data 1955-2015 Oskar Goecke TH Köln (University of Applied Sciences) Institute for Insurance Studies Claudiusstrasse 1
More informationFinally arriving? Pension Reforms in Europe
Finally arriving? Pension Reforms in Europe Chris de Neubourg Tokyo 2010 Finally arriving? Pension Reforms in Europe Chris de Neubourg Innocenti Research Centre, Unicef, Florence October 2010 Drivers
More informationAre Your Risk Tolerance and LDI Glide Path in Sync?
Are Your Risk Tolerance and LDI Glide Path in Sync? Wesley Phoa, LDI Portfolio Manager, Capital Group Luke Farrell, LDI Investment Specialist, Capital Group The Plan Sponsor s Mission Dual accountability
More informationAugust Asset/Liability Study Texas Municipal Retirement System
August 2016 Asset/Liability Study Texas Municipal Retirement System Table of Contents ACKNOWLEDGEMENTS... PAGE 2 INTRODUCTION... PAGE 3 CURRENT STATUS... PAGE 7 DETERMINISTIC ANALYSIS... PAGE 8 DETERMINISTIC
More informationPensions Core Course Mark Dorfman The World Bank March 2, 2014
Pensions Diagnostic Assessment and Conceptual Framework Pensions Core Course Mark Dorfman The World Bank March 2, 2014 Organization 1. Diagnostic assessment process 2. Conceptual framework design typology
More informationAN ACTUARIAL BALANCE SHEET APPROACH TO ASSESSING SUSTAINABILITY OF TARGET BENEFIT PLANS
George C.M. Ma Department of Statistics and Actuarial Science University of Hong Kong AN ACTUARIAL BALANCE SHEET APPROACH TO ASSESSING SUSTAINABILITY OF TARGET BENEFIT PLANS IAA Colloquium June 2016 Outline
More informationConverting a DC Plan into a Target Benefit Plan: The Wave of the Future?
Converting a DC Plan into a Target Benefit Plan: The Wave of the Future? The BCGEU Plan Conversion: A Case Study Paul Finch, BCGEU SHARE BC Pension Forum, February 24, 2017 Topics Why the BCGEU Wanted
More informationA longitudinal study on Portfolio Optimization: Is the Success Time Dependent?
1 A longitudinal study on Portfolio Optimization: Is the Success Time Dependent? Gyöngyi Bugár University of Pécs, Faculty of Business and Economics Máté Uzsoki Budapest University of Technology and Economics
More informationRe: Defined Benefit Pension Plan Stress Testing
Memorandum To: Our Pension Clients From: Actuarial Department Date: October 13, 2011 Re: Defined Benefit Pension Plan Stress Testing Purpose The purpose of this memo is to inform our clients with registered
More informationSelected Interest & Exchange Rates
(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts June 29, 1998 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM
More informationCondensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board
Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board December 31, 2017 Condensed Interim Consolidated Balance Sheet December 31, 2017 December 31, 2017 March 31,
More informationNew Dutch pension contracts and lessons for other countries Bovenberg, Lans; Nijman, Theo
Tilburg University New Dutch pension contracts and lessons for other countries Bovenberg, Lans; Nijman, Theo Document version: Publisher's PDF, also known as Version of record Publication date: 2017 Link
More informationMeasuring Risk in Pension Plans Stress Testing
Measuring Risk in Pension Plans Stress Testing National Conference of State Legislators August 8, 2017 Susan Banta, Director of Research Public Sector Retirement Systems Project The Pew Charitable Trusts
More informationSelected Interest & Exchange Rates
(51/517) Selected Interest & Exchange Rates Weekly Series of Charts September 7,1993 Prepared by the FINANCIAL MARKETS SECTION DIVISION OF INTERNATIONAL FINANCE BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM
More informationA Feasible Blueprint for Meeting the Challenges of Funding Retirement
A Feasible Blueprint for Meeting the Challenges of Funding Retirement A Feasible Blueprint for Meeting the Challenges of Funding Retirement Robert C. Merton, School of Management of Management Distinguished
More informationIFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans
IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans Yosuke Fujisawa (joint-work with Johnny Li) Dept. of Statistics & Actuarial Science
More informationAnnual risk measures and related statistics
Annual risk measures and related statistics Arno E. Weber, CIPM Applied paper No. 2017-01 August 2017 Annual risk measures and related statistics Arno E. Weber, CIPM 1,2 Applied paper No. 2017-01 August
More informationPortfolio Optimization using Conditional Sharpe Ratio
International Letters of Chemistry, Physics and Astronomy Online: 2015-07-01 ISSN: 2299-3843, Vol. 53, pp 130-136 doi:10.18052/www.scipress.com/ilcpa.53.130 2015 SciPress Ltd., Switzerland Portfolio Optimization
More informationOccupation Pension for Public Employees in China: A New Approach with DB Underpin Pension Plan
Occupation Pension for Public Employees in China: A New Approach with DB Underpin Pension Plan Kai Chen Julie Shi Yi Yao Abstract The population aging has already become a major concern in China s pension
More informationPresentation Pension Day
Presentation Pension Day Investment strategies for the pre-retirement and retirement phase of IDC pensions A.W.M. van Ool Master Quantitative Finance & Actuarial Sciences Netspar Track specialization 1
More informationOn the Use of Stock Index Returns from Economic Scenario Generators in ERM Modeling
On the Use of Stock Index Returns from Economic Scenario Generators in ERM Modeling Michael G. Wacek, FCAS, CERA, MAAA Abstract The modeling of insurance company enterprise risks requires correlated forecasts
More informationAnnuities and the decumulation phase of retirement. Chris Daykin Chairman, PBSS Section of IAA Actuarial Society of Hong Kong 17 September 2008
Annuities and the decumulation phase of retirement Chris Daykin Chairman, PBSS Section of IAA Actuarial Society of Hong Kong 17 September 2008 ACCUMULATION AND DECUMULATION The two phases of pension savings
More informationPension fund investment: Impact of the liability structure on equity allocation
Pension fund investment: Impact of the liability structure on equity allocation Author: Tim Bücker University of Twente P.O. Box 217, 7500AE Enschede The Netherlands t.bucker@student.utwente.nl In this
More informationUnderstanding challenges around pension schemes discounting policies
Understanding challenges around pension schemes discounting policies The lively debate around the use of the revised IORP Directive s Holistic Balance Sheet (HBS) gives us an occasion to provide a quick
More informationFIDELITY INTRODUCES INDUSTRY-FIRST GLOBAL RETIREMENT SAVINGS GUIDELINES
FOR IMMEDIATE RELEASE Follow us on Twitter @FidelityNews Corporate Communications Mike Shamrell (617) 563-5800 (617) 563-1996 fidelitycorporateaffairs@fmr.com michael.shamrell@fmr.com FIDELITY INTRODUCES
More informationInvestments for the Target Benefit Plan
Aon Hewitt Consulting Retirement Investments for the Target Benefit Plan Efficient strategies to empower pension plan sustainability Risk. Reinsurance. Human Resources. I. Introduction Target benefit plans
More informationThe Danish DC Pensions - Beauties and Challenges
The Danish DC Pensions - Beauties and Challenges The Association of Chilean Pension Funds - AAFP Conference March 27 2018 Henning Hansen Diclaimer: All content and views in this presentation represent
More informationPension Funds Performance Evaluation: a Utility Based Approach
Human Capital and Life-cycle Investing Pension Funds Performance Evaluation: a Utility Based Approach Giovanna Nicodano CeRP-Collegio Carlo Alberto and University of Turin Carolina Fugazza Fabio Bagliano
More informationMarket Risk Disclosures For the Quarterly Period Ended September 30, 2014
Market Risk Disclosures For the Quarterly Period Ended September 30, 2014 Contents Overview... 3 Trading Risk Management... 4 VaR... 4 Backtesting... 6 Stressed VaR... 7 Incremental Risk Charge... 7 Comprehensive
More informationUS Life Insurer Stress Testing
US Life Insurer Stress Testing Presentation to the Office of Financial Research June 12, 2015 Nancy Bennett, MAAA, FSA, CERA John MacBain, MAAA, FSA Tom Campbell, MAAA, FSA, CERA May not be reproduced
More informationVariable Annuity and Interest Rate Risk
Variable Annuity and Interest Rate Risk Ling-Ni Boon I,II and Bas J.M. Werker I October 13 th, 2017 Netspar Pension Day, Utrecht. I Tilburg University and Netspar II Université Paris-Dauphine Financial
More informationGetting control back on the vessel some offloading required September 21, 2016
Getting control back on the vessel some offloading required September 21, 2016 Eleanor Marshall, CPA, CA, CFA Vice-President, Pension & Benefits, BCE and Bell Canada Heather Wolfe, FIA, FCIA, FSA Managing
More informationGenerational Pension Plan Designs
See discussions, stats, and author profiles for this publication at: https://www.researchgate.net/publication/228179374 Generational Pension Plan Designs Article in SSRN Electronic Journal October 2010
More informationSocial Security Pension Reform in Japan from Actuarial Viewpoints
October 22, 2007 Pension Seminar organized by the JSCPA and Nihon Univ. Social Security Pension Reform in Japan from Actuarial Viewpoints Actuaries Course in Nihon University College of HUMANITIES and
More informationGrant of Stock Options as Stock-based Compensation
FOR IMMEDIATE RELEASE Contacts: Japan: Mickey Takeuchi U.K.: Yoshimasa Doi Hitachi, Ltd. Hitachi Europe Ltd. +81-3-5208-9324 +44-1628-585-384 masayuki.takeuchi.cc@hitachi.com yoshimasa.doi@hitachi-eu.com
More informationMonitoring Actuarial Present Values of Term Life Insurance By a Statistical Process Control Chart
Journal of Physics: Conference Series PAPER OPEN ACCESS Monitoring Actuarial Present Values of Term Life Insurance By a Statistical Process Control Chart To cite this article: M Hafidz Omar 2015 J. Phys.:
More informationRising Insurance Premiums: A New Impetus for Voluntary Funding of Corporate Defined Benefit Plans
Featured Solution December 2014 Your Global Investment Authority Rising Insurance Premiums: A New Impetus for Voluntary Funding of Corporate Defined Benefit Plans It is not quite a perfect storm, the simultaneous
More informationPricing & Risk Management of Synthetic CDOs
Pricing & Risk Management of Synthetic CDOs Jaffar Hussain* j.hussain@alahli.com September 2006 Abstract The purpose of this paper is to analyze the risks of synthetic CDO structures and their sensitivity
More informationEvaluating the Dutch Collective DB
Evaluating the Dutch Collective DB Cindy Levering, Chair, Pension Section Council Emily Kessler, SOA Senior Fellow Evaluating Dutch Collective DB Overview Measurement Frameworks Evaluating Dutch Collective
More informationSustainable Spending for Retirement
What s Different About Retirement? RETIREMENT BEGINS WITH A PLAN TM Sustainable Spending for Retirement Presented by: Wade Pfau, Ph.D., CFA Reduced earnings capacity Visible spending constraint Heightened
More informationCash Balance Pension Plan in Japan Current Situation and Future
Cash Balance Pension Plan in Japan Current Situation and Future Takeshige Ota F.I.A.J Mitsubishi UFJ Trust and Banking Corporation, Tokyo, Japan Abstract; Recent years, corporate pension plan sponsors
More informationOvernight Index Rate: Model, calibration and simulation
Research Article Overnight Index Rate: Model, calibration and simulation Olga Yashkir and Yuri Yashkir Cogent Economics & Finance (2014), 2: 936955 Page 1 of 11 Research Article Overnight Index Rate: Model,
More informationACCOUNTING FOR SOCIAL SECURITY LIABILITIES
ACCOUNTING FOR SOCIAL SECURITY LIABILITIES --THE PROBLEM --THE IMPACT --THE SOLUTION The Actuarial View: PBSS June 29, 2016 Robert L. Brown, PhD FCIA, FSA, ACAS ACCOUNTING FOR SOCIAL SECURITY LIABILITIES:
More informationWelcome IAA Officers 2017
Welcome IAA Officers 2017 President Tom Terry (United States) President-Elect Masaaki Yoshimura (Japan) Immediate Past President Executive Director Malcolm Campbell (Sweden) Mathieu Langelier (Canada)
More informationMeasurement of Market Risk
Measurement of Market Risk Market Risk Directional risk Relative value risk Price risk Liquidity risk Type of measurements scenario analysis statistical analysis Scenario Analysis A scenario analysis measures
More informationIn physics and engineering education, Fermi problems
A THOUGHT ON FERMI PROBLEMS FOR ACTUARIES By Runhuan Feng In physics and engineering education, Fermi problems are named after the physicist Enrico Fermi who was known for his ability to make good approximate
More informationJapanese Banks should be Proactive in Fostering the Asian Bond Market
(Kinzai Weekly, January 19, 2004) Japanese Banks should be Proactive in Fostering the Asian Bond Market A Mechanism to Circulate Local Money within the Region is Required Naoyuki Yoshino Professor, Keio
More informationSolvency requirements for Swiss pension funds and how to ensure the guarantee of benefit payments at any time.
Solvency requirements for Swiss pension funds and how to ensure the guarantee of benefit payments at any time. Ljudmila Bertschi Julien Roueche Nathalie Munaretto Watson Wyatt AG Zurich, Seefeldstrasse
More informationInvestment Cost Effectiveness Analysis Norwegian Government Pension Fund Global
Investment Cost Effectiveness Analysis 2015 Norwegian Government Pension Fund Global Table of contents 1 Executive summary 2 Research 3 Peer group and universe Total cost versus benchmark cost 5-6 Benchmark
More informationRetirement Shares Plan
Donald E. Fuerst, MAAA, FSA, FCA, EA Senior Pension Fellow American Academy of Actuaries Presented at Wharton Pension Research Council Symposium May 1, 2014 All Rights Reserved. A Variable Annuity Plan
More informationP O S I T I O N P A P E R
Pensioenfederatie Prinses Margrietplantsoen 90 2595 BR Den Haag Postbus 93158 2509 AD Den Haag T +31 (0)70 76 20 220 info@pensioenfederatie.nl www.pensioenfederatie.nl P O S I T I O N P A P E R KvK Haaglanden
More informationMarcel Lever, Thomas Michielsen
Marcel Lever, Thomas Michielsen occasional-09 / 2016 Benefits of collective risk sharing in defined contribution pension systems Marcel Lever and Thomas Michielsen CPB Netherlands Bureau for Economic Policy
More informationNearly optimal asset allocations in retirement
MPRA Munich Personal RePEc Archive Nearly optimal asset allocations in retirement Wade Donald Pfau National Graduate Institute for Policy Studies (GRIPS) 31. July 2011 Online at https://mpra.ub.uni-muenchen.de/32506/
More informationYour Financial Future During Retirement
Journal of Business and Economics, ISSN 2155-7950, USA December 2014, Volume 5, No. 12, pp. 2294-2301 DOI: 10.15341/jbe(2155-7950)/12.05.2014/010 Academic Star Publishing Company, 2014 http://www.academicstar.us
More informationIs There an Optimal Level of Pre-Funding? Optimal Funding of the Canada Pension Plan
Is There an Optimal Level of Pre-Funding? Optimal Funding of the Canada Pension Plan 28 th International Congress of Actuaries Paris, 28 May- 2 June 2006 1 Presentation Retirement income security in Canada
More informationSHARING RISK: THE NETHERLANDS NEW APPROACH TO PENSIONS
April 2007, Number 2007-5 SHARING RISK: THE NETHERLANDS NEW APPROACH TO PENSIONS By Eduard H.M. Ponds and Bart van Riel* Introduction In response to the perfect storm of falling stock returns and interest
More informationPension Diagnostic Assessment Pensions Core Course April 27, Mark C. Dorfman Pensions Team SPL Global Practice The World Bank
Pension Diagnostic Assessment Pensions Core Course April 27, 2015 Mark C. Dorfman Pensions Team SPL Global Practice The World Bank Organization I. Pension Diagnostic Assessment A. Evaluation Process &
More information