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Measuring pension plan risk from an economic capital perspective

Bonnar, Stephen, Pittea, Aniketh, Tapadar, Pradip (2019) Measuring pension plan risk from an economic capital perspective. In: Joint CIA, IFoA, SOA Webcast, 15 May 2019.

Abstract

Economic capital, the 0.5th percentile result of a stochastic projection, is the primary risk measure employed. The research examines not only the difference in economic capital requirements between typical plans in the three countries, but also its sensitivity to changes in asset allocation, contributions, and starting funded status.

Item Type: Conference or workshop item (Lecture)
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science > Actuarial Science
Depositing User: Pradip Tapadar
Date Deposited: 24 Jun 2019 12:28 UTC
Last Modified: 16 Oct 2019 12:14 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/74548 (The current URI for this page, for reference purposes)
Tapadar, Pradip: https://orcid.org/0000-0003-0435-0860
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