We provide empirical evidence which discriminates among the value-relevance of alternative pension accounting treatments to capital market participants by examining whether the assets and liabilities of pension funds is reflected in stock prices of UK firms who raise equity capital in US securities markets during 1996-1999 and are therefore required to report their pension exposure under both S...

We analyze the impact of changing employment patterns and pension reforms on the future level of public pensions across birth cohorts in Germany. The analysis is based on a rich dataset that combines household survey data from the German Socio-Economic Panel Study (SOEP) and process-produced microdata from the German pension insurance. A microsimulation model is developed which accounts for coh...

There has been a surge of interest in recent years from defined benefit pension plan sponsors in de-risking their plans with strategies such as “longevity hedges” and “pension buyouts” (Lin et al., 2015). While buyouts are attractive in terms of value creation, they are capital intensive and expensive, particularly for firms with underfunded plans. The existing literature mainly focuses on the ...

2 Pension assets exist to defease the benefit promises made by plan sponsors to participants and beneficiaries—in other words, the pension liability. It follows that pension investment policies should be set in a way that explicitly integrates the exposures of the pension liability. The traditional approach to pension investing has excluded the risks of the liability, which has resulted in port...

The objective of the thesis is to analyze the participation of Brazilian pension funds in the real estate sector, with special attention to their historical motivations. The thesis also describes the prospects of future investments in the sector once that both pension funds and the real estate industry are experiencing great transformation in that country. Since their regulation in the late 197...

With the constant improvement of the population average life expectancy, the pension personal account will face a growing risk, improvement of the pension fund system is crucial, this article from system design, the preferential tax, legal protection, operation mechanism, and fund supervision five aspects to the current situation of the endowment insurance fund system of China is analyzed, then...

In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, a member of the pension plan is given a possibility to switch periodically between m types of the funds with different risk profile and so actively manage her risk exposure and expected return. Minimization the multi-period...

The threshold and constant proportion portfolio insurance (CPPI) strategies are considered for their application in managing defined-contribution (DC) pension plans. The pension plans invest in two types of asset, riskless asset and stocks, or bonds and stocks. When the objective of pension plan is to maximize expected terminal utility that is a function of terminal pension wealth with final wa...

The combination of low fertility, decreasing mortality and the baby-boom generation entering retirement will dramatically increase the share of elderly people in Slovenia in future decades. Without further changes in the pension system this will bring about strong pressure on the public pension system. In the analysis we use a cohort-based model to project the share of public expenditure on pen...