Financial and Actuarial Modelling for Pension Funds Risk Management

As the pension fund systems’ decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans.

The course sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integrated point of view.

The course assists pension fund executives, risk managers, consultants, and public pension fund administrators in attaining a clear picture of the integration of risks in the pension world. It offers a comprehensive, contemporary account of how to handle the risks involved with pension funds, with particular emphasis on public pension funds.

Objectives

Ability to carry out the correct measurement of risk in pension funds, fund dynamics under a performance- oriented arrangement, an attribution model for monitoring the performance and risk of a defined benefit (DB) pension fund, and an optimal investment problem of a defined contribution (DC) pension fund under inflationary risk.
Good knowledge of components of pension plan from a dynamic optimization viewpoint, the optimal asset allocation of pension funds (using the US example), the identification of stakeholders’ risks, value-at-risk (VaR) methodology.
Understand the effects of uncertainty on employer provided DB, private and public pension plan liabilities; the wage-based lump sum payments by death, retirement, or dismissal by the employer; fundamental retirement changes; occupational pension insurance (using the German example).
Will understand how employers’ risks works, including accountability rules and regulations, useful actuarial analysis instruments, risk based solvency regime (the Netherlands example), and the impact of the 2008 global financial crisis on pension participants.
Sound knowledge of DB pension freezes and terminations of plans, the two-pillar social security system (with examples from Italy and Greece social security systems), the effect of an unfunded pension liability on its stock market valuation.

Who should attend

This course is recommended for personnel involved with managing public and private pension funds, such as risk managers, fund managers, portfolio managers and board members. It is particularly valuable for public fund managers at local and state levels.