Tail Risk in Pension Funds: An Analysis Using ARCH Models and Bilinear Processes

CFA Digest ◽  
2015 ◽  
Vol 45 (1) ◽  
Author(s):  
Michal Szudejko
Keyword(s):  
Pension Funds ◽  
Tail Risk ◽  
Arch Models

Report on the Wilkie stochastic investment model

1992 ◽  
Vol 119 (2) ◽  
pp. 173-228 ◽  
Author(s):  
T. J. Geoghegan ◽  
R. S. Clarkson ◽  
K. S. Feldman ◽  
S. J. Green ◽  
A. Kitts ◽  
...  
Keyword(s):  
Alternative Model ◽  
Working Party ◽  
Pension Funds ◽  
Investment Model ◽  
Arch Models ◽  
Future Developments ◽  
Life Assurance ◽  
Specific Alternative ◽  
Set Up ◽  
Investment Models

AbstractA FIMAG Working Party was set up in 1989 to consider the stochastic investment model proposed by A. D. Wilkie, which had been used by a number of actuaries for various purposes, but had not itself been discussed at the Institute. This is the Report of that Working Party. First, the Wilkie model is described. Then the model is reviewed, and alternative types of model are discussed. Possible applications of the model are considered, and the important question of ‘actuarial judgement’ is introduced. Finally the Report looks at possible future developments. In appendices, Clarkson describes a specific alternative model for inflation, and Wilkie describes some experiments with ARCH models. In further appendices possible applications of stochastic investment models to pension funds, to life assurance and to investment management are discussed.

Pension Funds, Capital Markets, and the Power of Diversification

2017 ◽  
Author(s):  
Fiona Stewart ◽  
Romain Despalins ◽  
Inna Remizova
Keyword(s):  
Capital Markets ◽  
Pension Funds

Rehabilitating the Role of Active Management for Pension Funds

CFA Digest ◽  
2012 ◽  
Vol 42 (4) ◽  
pp. 135-137
Author(s):  
Stuart Fujiyama
Keyword(s):  
Pension Funds ◽  
Active Management

Divergent Investing for Pension Funds

1980 ◽  
Vol 36 (5) ◽  
pp. 29-39 ◽  
Author(s):  
Roy A. Schotland
Keyword(s):  
Pension Funds

Schweizer Wald als Geldanlage: Win-win-Strategie für Waldwirtschaft und Pensionskassen? (Essay) | Swiss forest as an investment opportunity: a win-win situation for both the forestry sector and pension funds? (Essay)

2011 ◽  
Vol 162 (2) ◽  
pp. 27-31
Author(s):  
Daniel Häuptli
Keyword(s):  
Value Chain ◽  
Pension Fund ◽  
Pension Funds ◽  
Literature Analysis ◽  
Forest Land ◽  
Investment Opportunity ◽  
Existing Problems ◽  
Monetary Value ◽  
Forestry Sector ◽  
The One

Could there be a win-win situation for both pension funds and the Swiss forestry sector? On the one hand, developments in the forestry sector suggest that the Swiss forest presents a new lucrative investment opportunity. If this is so, then pension funds could be particularly interested, as the low correlation between Swiss forest and other classes of investment, and the long investment periods involved are ideal for pension fund portfolios. On the other hand, large investments made by pension funds could mean that existing problems in Swiss forestry, in connection with its fragmented nature, could be more rapidly solved, and the potential for rationalization in the wood value chain could be fully realized. This would in turn make investments in the forest even more profitable. This hypothesis was investigated through a comprehensive literature analysis, yield calculations for private forestry enterprises of over 50 ha made by the Swiss Federal Office for Statistics 2004–2008, and an interview with the investments director of a large Swiss pension fund. Despite the optimistic assumption that the greater efficiency gained by the investment of pension funds into the forestry sector could lead to costs lower by 50% and a 20% increase in profits, the hypothesis must be rejected, because a calculated annual return of only 0.82% is too low for pension funds. The conclusion is that the price for forest land is high, and forest owners are not only interested in the monetary value of holding forest. Other immaterial values influence prices. It is suggested that a greater emphasis on socioscientific studies concerning the link between the price of forest land and the motivation to buy and sell forest could lead to some important findings.

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