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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