A New Risk Metric for Defined Benefit Pension Plans

Fishbaum, David
Bergan, Thomas D

Paper/Article
Enterprise Risk Management Symposium Monograph Society of Actuaries - Schaumburg, Illinois
2006: M–AS06–1
1-23
http://soa.org/library/monographs/other-monographs/2006/july...

Abstract

In order for actuaries to play a valuable role in the realm of enterprise risk management (ERM), they must provide value-added advice and quantitative analyses. In this paper, the authors use stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan’s solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities.

Taxonomy Classifications

• Actuarial Applications and Methodologies > Enterprise Risk Management

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