TY  - BOOK
AU  - Gajek,Lesław
AU  - Ostaszewski,Krzysztof
TI  - Financial risk management for pension plans
SN  - 0444516743 (hbk.)
U1  - 332.67254 
PY  - 2004///
CY  - Amsterdam, Oxford
PB  - Elsevier
KW  - Pension trusts
KW  - Pension fund investment
KW  - Risk management
N1  - Includes bibliographical references and index
N2  - This book is devoted to modern methodologies of financial risk management of pension plans, mostly defined benefit plans. The book outlines basic actuarial valuation concepts and then presents actuarial funding and valuation methods for defined benefit plans, and discusses their relationship to other types of pension plans. Optimal funding methodologies are developed in simple deterministic and in stochastic cases. The question of measurement of rate of return of a fund is analyzed in detail, pointing out how the choice of a market index affects it. The problem of stability of the value of liabilities is analyzed as well. Modern investment theory, including equilibrium and arbitrage models, is used to discuss ways to value both marketable and non-marketable assets, as well as liabilities. All commonly used methodologies of valuation of assets are listed and analyzed. Finally, financial risk management for pension plans is presented in detail, with emphasis on applicable asset-liability management methodologies
ER  -