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Solvency analysis of defined benefit pension schemes

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Devolder, Pierre [UCL] Piscopo, Gabriella [University of Genova, Italy]

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 specicities 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.

Document type Document de travail (Working Paper)
Access type Accès libre
Publication date 2012
Language Anglais
Number of pages 10 pages
Collection ISBA Discussion Paper - 2012/30
Affiliations UCL - SSH/LouRIM - Louvain Research Institute in Management and Organizations
UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords market risk ; solvency requirement ; value at risk ; Inflation risk ; IAS norms ; longevity risk
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Bibliographic reference Devolder, Pierre ; Piscopo, Gabriella. Solvency analysis of defined benefit pension schemes. ISBA Discussion Paper ; 2012/30 (2012) 10 pages
Permanent URL http://hdl.handle.net/2078.1/128908