| Chapter 1 Introduction Chapter 2 Current Pension Systems and Pension Fund Risk Management 2.1 Defned Beneft Plan 2.2 Funding Methods for DB Plans 2.3 Defned Contribution Plan 2.4 Pension Reform 2.5 Hybrid Pension Plans Chapter 3 The Valuation of a DB Underpin Pension 3.1 Introduction 3.2 The Model and Assumptions 3.3 Numerical Techniques 3.4 Results 3.5 Scenario Test Chapter 4 Funding Strategies with Two Traded Assets 4.1 Introduction to Risk Management 4.2 Assumptions 4.3 Margrabe Option 4.4 Strategy 1: EAN Cost Method 4.5 Strategy 2: EAN Cost Method 4.6 Strategy 3 : PUC Cost Method 4.7 Strategy 4: TUC Cost Method 4.8 Summary Chapter 5 Numerical Examples of Hedging Costs 5.1 Introduction 5.2 Numerical Simulation 5.3 Hedging Costs 5.4 Scenario Tests Chapter 6 Salary, lnfation, and Equity Returns 6.1 Ob jectives 6.2 Data Analysis 6.3 Selection of Hedging Assets Chapter 7 Hedging Costs 7.1 Introduction 7.2 The Model for Salary and Infation 7.3 Numerical Results Chapter 8 Hedging with Stochastic Interest Rates 8.1 Introduction 8.2 Afne Term Structures 8.3 Estimated Annuity Rates 8.4 Numerical Results for Strategy 3 8.5 Numerical Results for Strategy 4 Chapter 9 Costs Control 9.1 Introduction 9.2 Unstable Hedging Cash Flows and Hedging Cost Spikes 9.3 Salary Growth Rate Control 9.4 Arithmetic Average on Salaries 9.5 Other Cost Control Methods Chapter 10 Comments and Further Work 10.1 Salary Growth Rate 10.2 Other Risk Management Approaches 10.3 Costs Control Bibliography |
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