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Lang, Joel B. "The defined benefit pension plan System : financial problems and policy responses /." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2004. http://library.nps.navy.mil/uhtbin/hyperion/04Jun%5FLang.pdf.
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Colombo, Luigi. "Funding strategies for defined benefit pension schemes." Thesis, City University London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418979.
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Skwierczynski, Maciej Julian. "UK's pension protection fund : importance and features of PPF valuations." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14461.
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Mestrado em Actuarial ScienceO Objetivo do presente trabalho, é descrever a experiência do estágio profissional com destaque no que apreendi sobre o Pension Protection Fund (PPF) e sobre a avaliação atuarial das responsabilidades ao abrigo da Section 179 (S179). De forma a descrever as principais características dos PPF, eu irei fazer uma comparação entre os diferentes sistemas de proteção de pensões existentes no mundo, com principal destaque na comparação com o Pension Benefit Guarantee Company implementado nos Estados Unidos da América. Uma vez que os dois sistemas operam em diferentes mercados a comparação ficará limitada pelos inúmeros pressupostos necessários para que a comparação resulte viável.
The aim of the following work is to describe my internship experience, with a focus on what I have learned about the Pension Protection Fund (PPF) and Section 179(S179) Actuarial Valuations. In order to describe the key features of the PPF, I will make comparisons to alternative protection systems that can be found around the world, with the main comparisons made to the Pension Benefit Guarantee Company which operates in the United States of America. As the two systems operate in two different markets the comparison will be limited by many assumptions necessary to make a comparison viable.
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Liu, Weixi. "The valuation effects of UK defined benefit pension schemes." Thesis, University of Exeter, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.489237.
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Mamaril, Cezar Brian C. "Funding Defined Benefit State Pension Plans: An Empirical Evaluation." UKnowledge, 2013. http://uknowledge.uky.edu/msppa_etds/3.
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Defined Benefit (DB) state pension trust funds are an integral component of state finances and play a major role in the country’s labor and capital markets. The last decade though has seen a substantial growth in unfunded pension obligations and a seeming inability by states to make the contributions needed to cover funding shortfalls. When coupled with even larger unfunded retirement health benefits, the looming threat of insolvent state retirement systems pose both current and long-term fiscal challenges to state governments already struggling with the ongoing economic downturn and billions of dollars in budget deficits. The convergence of these factors have led states to undertake various reform strategies in an attempt to move their respective public pension plans towards a more sustainable funding path.
Using an asset-liability framework to describe the DB plan funding structure and process, this dissertation advances the discussion over major pension reform efforts currently implemented or considered by states. I show analytically the link between various pension reform categories and specific DB plan funding components, and how this in turn, affects DB plan funding outcomes. From this analytical framework, I derive the study’s hypotheses on the relationship between DB plan reform-linked funding components and outcomes of interest.
This study looks at three DB-plan reform-linked funding components: (1) plan member employee contributions, (2) plan employer contributions, and (3) retirement benefit payments. Four major funding outcomes are evaluated: (1) the employer contribution rate, (2) flow funding ratio, and (3) stock funding ratio, and (4) relative size of plan unfunded liability.
Utilizing a unique panel dataset of 100 DB state retirement systems from 50 states covering a nine-year period of FY 2002 to 2010, I empirically test the following hypothesized funding relationships: (1) States as DB plan sponsors have underfunded their plans as indicated by their failure to meet annual employer funding requirements; and (2) Increasing the employee and employer contribution rate and reducing the cost of retirement benefits are associated with higher plan stock funding ratios and lower unfunded pension liabilities.
Results from my fixed-effects (FE) panel regression analyses provide the clearest empirical evidence to date that state DB pension plan sponsors underfunded their required annual employer contributions. The financial condition of a state’s budget is also shown to have a significant effect on the amount states are able to contribute into their pension funds. I find empirical support for the crucial function of employer contributions in determining the overall funded status of state pension plans. This finding is further reinforced when I estimate plan stock funding ratios using a dynamic system GMM (sGMM) panel regression model. The results from static FE and dynamic sGMM models suggest no significant effect on overall plan funding levels from changes in the employee contribution rate or the average retirement benefit cost. Lastly, the results lend evidence to the significant influence of past funding levels on current funding levels. It is recommended that future empirical research account for the dynamic nature of public pension funding and related endogeneity issues. This dissertation concludes by discussing the implications of the empirical findings for policy makers seeking to improve the funded status of their respective state DB retirement systems.
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Sutcliffe, Charles Martin Sydenham. "Financial aspects of UK occupational defined benefit pension schemes." Thesis, University of Reading, 2018. http://centaur.reading.ac.uk/77838/.
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This thesis consists of a number of publications which deal with various aspects of the financial aspects of UK occupational defined benefit pension schemes. It is divided into six main sections covering (1) the history of pensions and medieval corrodies, (2) the asset allocation decision and asset-liability models, (3) valuing schemes and setting the contribution rate-actuaries versus economists, (4) different scheme designs and the redistribution of penSion wealth, (5) interactions between the sponsor and the scheme and how they affect scheme asset allocation and scheme mergers, and (6) the replication of annuities. The common theme of these papers is the application of the techniques of financial economics to defined benefit occupational pension schemes, as opposed to those of the actuarial profession. This allows the application ofa logical and consistent methodology that sheds new light on old problems.
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Marten, Elena Renee. "Interest rate risk in UK defined benefit pension schemes." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19721.
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Mestrado em Actuarial ScienceDesde a crise financeira de 2008, fundos de pensões começaram a reconhecer, mais do que nunca, a necessidade de se protegerem contra o risco da taxa de juro. Este risco é o mais significativo e volátil para os fundos de pensões pois uma mudança nas condições do mercado pode ter um grande impacto tanto nos ativos como nos passivos do fundo, afetando o seu nível de financiamento. Estratégias de remoção do risco são críticas à luz dos planos de benefícios definidos (BD) estarem cada vez mais insustentáveis. Fundos de pensões estão a considerar várias estratégias de remoção do risco e a reavaliar as suas estratégias de investimento com o objetivo de garantirem, com elevado nível de confiança, os pagamentos aos seus participantes e beneficiários. Este relatório irá discutir como é que planos BD são afetados pelo risco da taxa de juro, como é que esse risco é refletido no relatório da avaliação e que estratégias e ferramentas são usadas para mitigar este risco. Este relatório é o resultado de um de um estágio de cinco meses na Willis Towers Watson. O foco do estágio foi em avaliações de fundos de pensões do Reino Unido em que eu trabalhei nos cálculos do passivo e na análise dos resultados apresentados no relatório da avaliação. O estágio providenciou-me a oportunidade de aplicar o conhecimento atuarial que desenvolvi durante o Mestrado num ambiente empresarial.
Since the financial crisis of 2008, pension schemes began recognizing more than ever that they need to protect against interest rate risk. Interest rate risk is the most significant and volatile risk to pension schemes because a change in market conditions can have a big impact on both the assets and the liabilities of the pension scheme, affecting the funding level of the scheme. De-risking strategies are critical in light of defined benefit pension schemes becoming increasingly unsustainable. Pension schemes are putting many de-risking strategies into place and reevaluating their investment strategies to get to a position to reliably pay their members. This paper discusses how DB pension schemes are affected by interest rate risk, how the risk is reflected in the actuarial valuation report, and what strategies and tools are used to mitigate interest rate risk. This paper is the result of my five-month curricular internship at Willis Towers Watson. The focus of the internship was UK pension scheme valuations in which I worked with the liability calculations and analysis associated with the actuarial valuation report. The internship gave me the opportunity to apply the actuarial knowledge that I developed in the master to a real work environment. In this paper I show an example of one client who uses de-risking strategies against interest rate risk.
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Ngwira, Bernard Chiwiya. "Risk management and decision making in defined benefit pension schemes." Thesis, City University London, 2004. http://openaccess.city.ac.uk/8443/.
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stochastic approach to decision-making in defined benefit pension schemes is presented. Existing decision-making tools in the form of actuarial valuations and asset and liability modelling are discussed. These tools are shown to be inadequate to fully address the objectives of the various stakeholders. Pension fund control using a quadratic criteria with linear factors is studied in the case where the fund is invested in a risk-free asset and a risky asset. Optimal asset allocation strategies are shown to be counter-intuitive. The optimal strategy is shown to involve increasing the allocation in the risky asset as the fund deficit increases and increasing the allocation in the risk-free asset as the fund deficit decreases. It is further shown that increasing the weight on the linear factors leads to an increase in the optimal allocation in the risky asset. A risk management approach to decision-making is presented. This is shown to be a more satisfactory decision-making tool in terms of setting the funding and investment strategies. The objectives of the stakeholders are addressed through downside risk measures and a performance measure for the cost. Methods of solving the problem are discussed: an indifference curve approach and a stochastic multi-objective approach leading to Pareto optimal solutions. It is shown that, in the indifference curve approach, an "efficient region" exists. This efficient region is such that all funding and investment strategies outside this region are inefficient; that is, such strategies can be improved by choosing strategies in the region. On the other hand in the multi-objective approach, pareto optimal investment strategies are located along an "efficient frontier". An extension to the stochastic approach is presented. Optimal funding and asset allocation strategies, over a range of projection horizons, are determined by taking into account the probability of default by the sponsoring employer. It is shown that, over a short-term horizon, bond-only asset allocation strategies are optimal, whilst over a longer horizon equity-backed asset allocation strategies are optimal.
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Adeboye, Oluwafeyikemi Adebunmi. "Analysing hybrid pension plans : an illustration." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8055.
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Mestrado em Ciências ActuariaisNesta dissertação apresentamos uma ilustração dos alguns planos de pensões híbridos, em cinco países, que em nossa opinião podem ser tomados como referência no que respeita à evolução desse tipo de fundos. O objetivo foi tirar ilações sobre as razões do aumento do recurso aos planos de pensões híbridos, em alternativa aos planos de benefício definido ou de contribuição definida. Se bem que os planos híbridos não sejam comuns, nos últimos tempos, devido ao esforço para atenuar os riscos nos planos tradicionais, têm por vezes vindo a ser considerados uma opção menos arriscada, devido às suas características. Na ilustração considerada nesta dissertação, temos um participante tipo que acabou de ser admitido no fundo de pensões e analisamos três modelos de planos híbridos, que comparamos com os planos de benefício definido e contribuição definida. O propósito é determinar, do ponto de vista do empregador e do ponto de vista do participante, quais os impactes de futuros choques nas taxas de juros, nas atualizações salariais anuais e na idade de reforma. As ilustrações permitiram observar que os planos de pensões híbridos, de facto, oferecem melhores perspetivas, embora com alguns compromissos. Conclui-se que pode haver vantagem para os associados e para os participantes em considerar a possibilidade de implementar um plano híbrido, em alternativa aos planos de contribuição definida, atualmente mais populares, procurando oferecer melhor proteção e mantendo os custos dentro de limites aceitáveis.
In this dissertation we present an illustration of the most common Hybrid pension plans designs in five countries, which in our opinion can be taken as representatives of the Hybrid pension funds. The aim is to explore why Hybrid pension plans are being considered as an alternative to traditional pension plans. Presently, Hybrid pension plans are not as widely used as Defined Benefit and Defined Contribution plans. In the recent times however, due to an effort to minimize the risks in these traditional plans, the Hybrid pension plan is considered as a less risky option due to its characteristic. In the illustration considered one participant that has just been admitted to a pension plan, and analyse three different types of Hybrid plans and compare them with the traditional designs of DB and DC pension plans, in order to determine from the perspective of the sponsor (employer) of pension plan and from the perspective of the participant (employee), what are the cost/benefits of future shocks on the interest rates, salary increases rate and early retirement. It was observed following the illustrations, that Hybrid pension plans do indeed offer better share of risks for both plan participants and sponsors although with some compromises. We conclude that to improve on retirement plans, sponsors need to consider a Hybrid pension plan design as a replacement for the currently popular Defined Contribution plans. Participants on the other hand will welcome this replacement option because of the possibility of a higher risk protection.
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Puskar, Semira. "Defined benefit versus defined contribution pension plans : how they compare for different working histories." Thesis, Université Laval, 2008. http://www.theses.ulaval.ca/2008/25274/25274.pdf.
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Roncha, Ana Teresa Gouveia. "Asset allocation in occupational defined contribution and defined benefit pension plans : an empirical analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16461.
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Mestrado em FinançasExistem vários estudos relacionados com a carteira de investimento dos fundos de pensões, definidos como os patrimónios constituídos com as contribuições para os planos com o objetivo de financiar os benefícios de pensões, e quais as suas implicações no retorno futuro. A alocação de ativos é contingente às características dos fundos e também ao ambiente económico de cada país onde os planos se estabelecem, tal como as regulamentações, as políticas de impostos, legislação e também características demográficas, como por exemplo a esperança média de vida. Os estudos empíricos sobre o assunto usam distintas metodologias de estudo relacionadas com a alocação de ativos em cada fundo, encontrando diferentes implicações visto que usam diferentes hipóteses. A principal pergunta que pretendemos responder e explorar no decorrer deste trabalho é se planos de pensões de benefício definido, contribuição definida e híbridos, que têm diversos riscos, características e objetivos, terão alocações de ativos também diferentes. Iremos focar-nos neste estudo na gestão de ativos e na diferença entre a carteira de investimento durante onze anos de dez países da OECD. Iremos, também, calcular alguns testes estatísticos a fim de perceber se, dadas as diferenças nos planos de pensões e na alocação de ativos, os mesmos têm retornos diferentes. Adicionalmente, tentamos perceber qual o melhor fundo. A conclusão que foi alcançada considerou que os fundos de pensões híbridos, devido à sua composição, apresentam um retorno superior aos restantes, e portanto é também o fundo mais arriscado, enquanto DC e DB são estatisticamente semelhantes no seu retorno.
There are plenty of studies regarding the allocation of assets of the pension funds, defined as assets bought with the contributions to a pension plan for the exclusive purpose of financing pension plan benefits, and the implications of such allocation on the future returns. The allocation of pension funds' assets is contingent to the characteristics of the plan and the economic environment of each country where the plans are based, such as regulation, tax policies, legislation, and demographics, like life expectancy. The empirical studies on the subject use different methodologies to study the asset allocation of each fund, finding different implications, since they use different assumptions. The main question that we intent to explore in this study is that whether defined benefit, defined contribution and hybrid pensions plans, that have different risks, characteristics and objectives, have a different asset allocation on their investment. We will focus our study on the asset management and on the differences between asset allocations through eleven years of ten different OECD countries. We will also perform some statistical tests on yearly data to understand if, given the differences between the pension plans and the allocation of the assets, the funds perform differently. We reached the conclusion that Hybrid pension plans, due to their composition, have an higher return and are the most risky type of pension, while DC and DB are statistically similar on their returns.
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Mashruwala, Shamin D. "The impact of accounting smoothing on asset allocation in corporate pension plans : evidence from the U.K. /." Thesis, Connect to this title online; UW restricted, 2007. http://hdl.handle.net/1773/8835.
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Yang, Wei. "Risk assessment of defined benefit pension schemes: an economic capital approach." Thesis, University of Kent, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.594096.
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Dimitrova, Milka. "Essays on corporate defined benefit pension plans and Chapter 11 bankruptcy." Thesis, University of British Columbia, 2015. http://hdl.handle.net/2429/54712.
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In this thesis, I present two essays on corporate defined benefit pension claimants and Chapter 11 bankruptcy. First, defined benefit claimants are related to a lower likelihood that the firm files for Chapter 11 bankruptcy. Second, defined benefit claimants influence the bankruptcy reorganization process beyond the role played by the firm's traditional creditors.
In the first essay, I examine the role of defined benefit claimants in times leading up to bankruptcy. Defined benefit claimants are less diversified and face higher costs of Chapter 11 bankruptcy than traditional lenders. I show that these differences have implications for the likelihood that firms file for Chapter 11 bankruptcy: the higher the share of defined benefit liabilities relative to overall liabilities, the lower the likelihood of Chapter 11 bankruptcy. These results indicate that defined benefit claimants' incentives to keep the firm as a going concern matter for the firm's decision to file for Chapter 11 and should be considered in studies of debt renegotiation between the firm and its creditors.
In the second essay, I focus on defined benefit claimants in bankruptcy and their impact on the reorganization process. I provide evidence that pension claimants influence the Chapter 11 restructuring beyond the impact of traditional lenders. In particular, defined benefit claimants play a role in the decision to terminate a pension plan in bankruptcy, in the likelihood that firms refile for bankruptcy, and in the amounts that unsecured creditors recover in bankruptcy. These results highlight a role for pension claimants in bankruptcy restructuring beyond that of traditional creditors. Additional tests indicate that one channel through which defined benefit claimants influence the Chapter 11 process and its outcomes is by accepting cuts in their pension liabilities which cannot be explained by the average reductions experienced by other creditors. These findings highlight the role of defined benefit claimants as an important player in bankruptcy restructuring.Business, Sauder School of
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Bradley, Linda Jacobsen. "The Impact of the 1986 and 1987 Qualified Plan Regulation on Firms' Decision to Switch from Defined Benefit to Defined Contribution for Plans Larger than 100 Participants." Thesis, University of North Texas, 1993. https://digital.library.unt.edu/ark:/67531/metadc277648/.
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The purpose of this research was to examine the United States population of plans with over 100 participants to determine the extent of the reaction away from defined benefit plans resulting from the 1986 and 1987 legislation.
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Farinha, Ana Jeanete Silva. "Components of UK defined benefit occupational pension schemes with a gender analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/17787.
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Mestrado em FinançasQuando iniciamos uma carreira profissional, a intenção é garantir autossustentabilidade. À medida que a vida vai passando terminamos esse ciclo de carreira profissional e iniciamos um período de reforma. É importante garantir um rendimento auto sustentável nesta fase de vida e optar por subscrever um regime de pensões de Benefício Definido é uma forma viável de o fazer. O objetivo deste trabalho é entender quais poderão ser principais componentes que impactam o comportamento dos Planos Ocupacionais de Benefício Definido em número e valor. Isso significa que aumentando o valor final de um plano de pensão em particular, poderemos aumentar o número total de Planos Ocupacionais de Benefício Definido para a população que decidimos estudar. Como o sistema de Pensões do Reino Unido foi caracterizado por uma série de reformas discriminatórias em género, decidimos incluir uma secção com os comentários que consideramos importantes em relação a Análise de Género.
When we initiate our work life, the intention to do it is to guarantee our self-sustainability. As life goes by, we end our work life and start a retirement period. It is important to guarantee a self-sustainable income in this period of life and opt to subscribe a Defined Benefit (DB) Occupational Pension Scheme (OPS), is a viable way to do it. The aim of this work is to understand which can be components that impact (DB) (OPS) in number and in value by association. This means by increasing the final amount of a particular pension plan this can increase the total number of (DB) (OPS) in the population that we decided to study. As United Kingdom (UK) pension system has been conducted a serial Reform Acts that is gender discriminatory, we also perform the considerations that we intend as necessary on Gender Analysis.
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Serlenga, Lorenzo. "Effects of transfers on liabilities of pension schemes." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20994.
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Mestrado em Actuarial ScienceNos últimos anos, as regras de adesão aos planos de pensões no Reino Unido tornaram-se mais flexíveis e a maioria dos membros passou a ter a possibilidade de mudar de um plano para outro, de acordo com as suas necessidades pessoais e financeiras. Isto significa que um dado membro, se assim o desejar, pode transferir o valor acumulado das contribuições feitas em seu favor para um outro fundo. A opção de transferir é justificada sobretudo pelo facto de os planos CD serem mais flexíveis na forma como os benefícios são recebidos e, às vezes, permitirem um maior controlo do membro sobre a forma como o dinheiro é investido - As transferências são um procedimento complexo do ponto de vista atuarial: os administradores precisam de calcular o montante que deve ser entregue ao membro que sai, uma tarefa realizada com a assistência do atuário do plano, que tem que definir os pressupostos económicos e demográficos necessários para o cálculo. Este trabalho resulta de um estágio no Lisbon Service Centre da Willis Tower Watson, onde estive envolvido no processo de avaliação de fundos de pensões do Reino Unido, com o objetivo de projetar as responsabilidades futuras dos planos. A legislação impõe que as empresas do Reino Unido realizem avaliações, pelo menos, a cada três anos, dada a importância, tanto para os membros como para as empresas, de conhecer o respetivo nível de financiamento e a situação financeira, em geral.
In the last years the regulations for pension plans membership became more flexible and most members have now the possibility to move from a scheme to another, according to their personal and financial needs. This means members are able to move their accumulated pots through a transfer, and this usually happens from a Defined Benefit (DB) to a Defined Contribution (DC) scheme. The option to transfer is justified because DC schemes are characterized by more freedom regarding the way benefits are collected and sometimes more control on the way the money is invested - although the member will take on the investment risk, the longevity risk and the income management risk. Transfers are a complex procedure from the actuarial point of view: trustees need to calculate the lump sum to be provided to the member leaving the scheme, a task performed with the assistance of actuaries, who are asked to set the economic and demographic assumptions required for the calculation. This work is a result of an internship at the Lisbon Service Center of Willis Tower Watson, where I have been involved in the UK pension fund valuation process, with the objective of projecting the future liability of schemes. Legislation imposes that UK firms must perform valuations of the schemes at least every three years, given the importance, both for members and clients, of knowing their funding position and financial situation.
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Cheng, Chunli [Verfasser]. "Essays on Defined Benefit Pension Insurance and Participating Life Insurance / Chunli Cheng." Bonn : Universitäts- und Landesbibliothek Bonn, 2015. http://d-nb.info/1084760037/34.
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Zhang, Ting. "Three essays on corporate pension underfunding , securities valuation and market efficiency /." View online ; access limited to URI, 2009. http://0-digitalcommons.uri.edu.helin.uri.edu/dissertations/AAI3368009.
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Segodi, Vusi Oscar. "A law regulating taxation of pension benefits in South Africa." Thesis, University of Limpopo, 2015. http://hdl.handle.net/10386/1435.
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Thesis (LLM. (Labour Law)) -- University of Limpopo, 2015This mini-dissertation discusses the legal reform of the taxation of pension benefits under the South African law. This study also discusses how South African pension benefits are taxed in instances wherein the member exits the fund either as a result of resignation, death, dismissal, retrenchment, disability and retirement. It further discusses the comparative study between South Africa, Canada, Australia and United Kingdom
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Guchshina, Yekaterina. "Pension system in the United Kingdom and the shift from DB to DC scheme." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/18466.
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Mestrado em Actuarial ScienceThis paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes the recent reforms, and checks the legal regulatory and actuarial framework for occupational pension schemes. Also, it outlines the different types of risks and returns from membership of defined benefit and defined contribution pension schemes and advantages and disadvantages of transferring out from the defined benefits scheme to defined contribution one. The main point was to examine if the financial regulatory guidance that "an adviser should start from the assumption that a transfer will be unsuitable" is outdated and whether a transaction is right for the individual and should be assessed on a case by case basis from a neutral starting position.
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Cong, Yongqing. "Sustainable Public Pension System for Florida Local Governments: Financial Solvency, Paradigm Switch, and Interperiod Equity." FIU Digital Commons, 2014. http://digitalcommons.fiu.edu/etd/1455.
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The issue of increasing unfunded pension liabilities of state and local governments has drawn increasing attentions in the last few years, especially after the 2008 stock market downturn. To maintain sustainability many state and local governments have put public pension reform at the top of their priority list. Previous research and practices provide two strategies to reform the current pension systems: Incremental changes to amend the existing defined benefit plans (DB plans), and the pension model switch from the DB model to defined contribution plans (DC plans).
This study aims to uncover reform strategies to cope for public pension systems. It first examined the appropriateness of the incremental reform strategies by identifying the determinants of the financial solvency of DB plans, utilizing the existing panel data of 151 local DB plans in Florida municipalities. Second, it gathered the primary data through the surveys and interviews with the Finance and HR directors in Florida local governments to analyze their perceptions of public pension reform and reveal their readiness to conduct the public pension paradigm switch. These approaches revealed the critical interperiod equity issue along with the impact of the two-tier benefit structure during the recent pension reform.
The results suggest that incremental reform strategies that reduce benefits and increase contributions are not effective in improving the financial solvency of public DB plans. The alternative reform approach—the DB-to-DC transition—is attractive to local governments because it will relieve the employer of the pension cost burden and transfer the investment risk to employees themselves. The transition is also politically palatable because the taxpayer sentiment is not supportive of what are perceived to be generous retirement benefit of public employees. Meanwhile, local governments are hesitant to implement the paradigm switch due to prohibitive transition costs, political pressure, and perhaps more importantly, the potential negative impacts to public recruitment and retention. Local officials do not perceive a reduction of morale with the two-tier benefit structure at the present time; they believe this issue will solve itself along the retirement of senior employees.
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Caerlewy-Smith, Emiko. "Investment decision making : attitudes and actions of UK defined benefit pension fund trustees." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.443601.
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Sweeting, Paul. "Schemes and sponsors: Issues in defined benefit pension provision in the United Kingdom." Thesis, University of Bristol, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.492564.
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This dissertation considers issues arising from the interaction between the defined benefit pension schemes and their sponsoring employers. If the pension scheme is in deficit - so has liabilities in excess of the assets held - then the shortfall must be made up by the sponsor; if there is a surplus of assets over liabilities, then the sponsor can use this to reduce the level of contributions payable.
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Franzen, Dorothee. "The impact of regulation on the asset investment of defined benefit pension funds." Thesis, University of Oxford, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.605159.
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Pension funds are important institutions providing retirement income in our ageing societies and influential investors on international capital markets. Investment is a core function at pension funds; the investment return is an important tool in providing adequate pension benefits at sustainable costs. Risk taking is a necessary ingredient in pension provision, which is shaped through the intersecting forces of theory, market and regulation. This century's financial crises deeply unsettled the pension fund universe. When the benign environment of the 19905 ended, DB pension funds found themselves at the intersection of financial turmoil and tightening regulatory and accounting trends, which marked a caesura to investment and risk management strategies: Pension funds have started to de-risk. This thesis investigates the impact of regulation on the asset investment of occupational defined benefit (DB) pension funds in selected OECD countries in an effort to understand both the reasons for changing patterns of investment and the reasons for persisting differences. I suggest that the traditional consensus of pension risk taking and sharing is broken. The tightening web of regulatory and accounting rules has impeded pension funds risk taking capacity. A re-design of pension risk sharing is a necessary ingredient for shaping the pension fund system of the 21st century. Furthermore, pension funds regulation should be better aligned with social policy goals to cope with the transformation of pension systems initiated by demographic, economic and societal change.
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Fox, Alison M. "An exploration of the governance and accountability of UK defined benefit pension schemes." Thesis, University of Dundee, 2010. https://discovery.dundee.ac.uk/en/studentTheses/85699d70-c916-4c85-910e-bb0ab103e120.
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In recent years, the financial status of pension schemes has attracted a great deal of attention from the national press and policy makers. Despite the resulting increase in regulation, many authors maintain that the governance of UK pension schemes remains opaque. This thesis analyses the accountability relationships that are evident in the governance mechanisms of UK pension schemes and investigates how accountability is discharged therein. It finds that trustees are central to the governance of UK pension schemes and that the following stakeholders are accountable to the trustees: (i) sub-committees to the trustee board; (ii) the fund manager; and (iii) the actuary. The evidence suggests that accountability is fully discharged in these relationships. Conversely, trustees are accountable to (i) the auditor; (ii) the PR; (iii) the sponsoring employer; and (iv) the members/beneficiaries of the pension scheme. The evidence suggests that a variety of documents are used to discharge the trustees’ accountability including: (i) the annual report of the pension scheme; (ii) the annual report of the sponsoring employer; (iii) the Statement of Investment Principles; (iv) the Summary Funding Statement; (v) the Popular Report; (vi) and other pension scheme media such as pension scheme booklets, the pension scheme web-site and annual benefit statements. In doing so, the evidence suggests that, in terms of Stewart’s (1984) model, accountability for probity and legality, process, performance and policy accountability is discharged. The evidence also suggests that, with the exception of the pension scheme members/beneficiaries, the trustees are held to account in all of their accountability relationships. The main finding of this thesis is that pension scheme members/beneficiaries fail to engage in the governance processes of the pension schemes on which they rely so much; if they wish to preserve their future pension benefits, they will need to find a voice.
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Mahmood, Ra'ees. "Estimating the risks in defined benefit pension funds under the constraints of PF117." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27342.
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With the issuing of Pension Funds circular PF117 in 2004 in South Africa, regulation required valuation assumptions for defined benefit pension funds to be on a best-estimate basis. Allowance for prudence was to be made through explicit contingency reserves, in order to increase reporting transparency. These reserves for prudence, however, were not permitted to put the fund into deficit (the no-deficit clause). Analysis is conducted to understand the risk that PF117 poses to pension fund sponsors and members under two key measures: contribution rate risk and solvency risk. A stochastic model of a typical South African defined benefit fund is constructed with simulations run to determine the impact of the PF117 requirements. Findings show that a best-estimate funding basis, coupled with the no-deficit clause, results in significant risk under both contribution rate and solvency risk measures, particularly in the short-term. To mitigate these risks, alternative ways of introducing conservatism into the funding basis are required, with possible options including incorporating margins into investment return assumptions or the removal of the no-deficit clause.
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Lu, Bei Economics Australian School of Business UNSW. "Economic impacts of China's pension reform: provincial and national contexts." Publisher:University of New South Wales. Economics, 2009. http://handle.unsw.edu.au/1959.4/43590.
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This thesis provides a range of analyses to examine the current Chinese pension reform in both provincial and national contexts, with special emphasis on coverage increase and its long term financial implications. Quantitative assessment includes econometric analysis of survey data initiated and organized by the author and her colleagues. Special models are designed to reflect the transitional characteristics of the current Chinese pension system. The results confirm that the coverage increase delays the system-aging process, through labor migration and urbanization, by about 20 years. But a funding crisis is inevitable if no parametric reforms could be made in the current system and if the system is not well managed. Policy suggestions are made in line with the empirical analysis and model results. In addition, some structural pension reform options are discussed. Two Notional Defined Contribution (NDC) applications are presented and simulations indicate that an NDC system may be effective in smoothing the financial pressure for government while maintaining adequate levels of individual retirement benefit. In the final part of the thesis, a hypothetical safety net is assessed in the context of the current policy framework, and its cost is examined. The thesis introduces new data and first hand information about Chinese pension reform in a provincial context to reflect the features of the national system.
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Mitrou, Evisa. "Defined benefit plan retentions and pension buy-ins/buy-outs : evidence from the UK." Thesis, University of Exeter, 2017. http://hdl.handle.net/10871/32820.
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This thesis consists of three self-contained papers on defined benefit (DB) pension provision in the United Kingdom (UK). In particular, in the first paper, I examine the effect that labour market incentives, managerial incentives and the adoption of FRS17 by UK firms, have on DB plan retention decisions. In this paper, I also examine the role of insider trustees, defined as trustees that are also company executives, on the firm’s decision to keep DB plans open. I find that firms for which human capital is especially important are more likely to retain their defined benefit plans. In addition, CEO and CFO membership in the same pension plan that is provided for other employees positively influences the retention of defined benefit pension plans. Additional analysis using a sub-sample for which data on pension plan trustees are available suggests that being a CEO and a trustee increases the probability of DB plan retentions. Moreover, being a CEO/CFO trustee and a member of the DB plan offered to all employees increases the likelihood of DB plan retention. However, I do not find any evidence that voluntary adoption of FRS 17 influences DB plan retention. In addition, I find that insider-trustees have a positive influence on the decision to maintain DB plans, especially when they are members of these plans. In the second paper, I look at the effect of DB plan retentions and executive membership in them, on corporate credit ratings and the investment and dividend decisions. Empirical findings suggest that firms which continue to sponsor DB plans are more likely to have lower credit ratings which are exacerbated when these plans are underfunded. Despite the above effect however, I find that if the CEO is a member of the DB plan, it positively affects credit ratings. In addition, I find some evidence that the participation of CEOs in the main DB plans in conjunction with overfunded pension plans, negatively affect investment decisions when these schemes remain open. I do not find any association between CEOs membership in the main DB plan and dividend payments which may be explained by the market signalling effects of dividends. Finally, in the third paper, I provide a thorough analysis of the pension buy-in and buy-out market in the UK, and I empirically examine the determinants of such transactions from a firm and plan perspective. I find that firms that implement buy-ins have larger and more funded pension plans, are more profitable and have higher union densities. Moreover, firms that complete buy-outs have larger pension plans and allocate less pension assets in equity. Moreover, the number of employees is negatively associated with both transactions implying it is costlier for firms to conduct either a buy-in or buy-out transaction. While union density is positively associated with buy-ins, it has a negative effect on the likelihood of buy-outs suggesting that unions support buy-in but not buy-out transactions. This may be potentially explained by the fact that the latter are associated with with plan winding-ups.
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Zhao, de Gosson de Varennes Yuwei. "Benefit Design, Retirement Decisions and Welfare Within and Across Generations in Defined Contribution Pension Schemes." Doctoral thesis, Uppsala universitet, Nationalekonomiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-274253.
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Essay 1 (with Juha Alho and Edward Palmer): All around the world, public pension schemes are moving in the direction of non-financial (NDC) and financial defined contribution (DC) schemes. Both rely on accurate projections of life expectancy in the creation of annuities. Accurate projections are critical for system stability, individual utility and inter-generational welfare. This paper suggests a path-breaking innovation that changes the perspective from the Lee-carter (LC) family of trend models which assume a constant rate of change in mortality over time. Our approach is to project the cohort life expectancy on basis of the specific cohort rate of change in mortality. This relaxes the strong trend assumption underlying the LC model, which is the reason why LC model does not work well in the phase of accelerating or decelerating mortality. We use unisex mortality data for $8$ countries to test the performance of our approach both ex-post and ex-ante. The ex-post experiment shows that our approach generally performs better when the rate of change in mortality is accelerating and performs as well as LC model when the rate of change is time-invariant. The ex-ante experiment, on the other hand, shows that our model almost always delivers higher projection of remaining life expectancy than the LC model for the more recent cohorts, which is consistent with the ex-post experimental results.Essay 2: Due to the systematic underestimation of cohort life expectancy, NDC pension schemes face a financial risk that can leads to inter-generational unfairness, given the current practice. This paper proposes an alternative method of computing annuity to address this problem. The proposal is to adjust the annuity based on re-estimations of the remaining life expectancy at intervals after retirement, but only up to a ceiling age. The scheme is assessed using 208 cohort annuity pools from eight sample countries. This experiment shows that the proposed scheme succeeds in reducing the inter-generational unfairness for 60-80% of the cohort annuity pools, compared to current practice of fixing the annuity at age 65. Because the adjustment is borne by the relatively large group of younger persons, the per capita change in utility is rather small assuming risk neutrality.
Essay 3: This paper studies how the incentive to retire in a DC (NDC) scheme is influenced by engaging private information on life expectancy. This is an important question since the decisions made under the two scenarios, optimizing using the private life expectancy or the cohort average made available by the pension provider, create different welfare and financial outcomes. The analytical framework is a standard life-cycle model, accounting for monetary gain from work and non-monetary gain from leisure. The unique feature here is that the individual life expectancy is an explicit driver of disutility of work. The theoretical result is that prevailing private information of a longer-than-average life expectancy can lead to both advancing and delaying retirement, depending on other factors determining utility. The numerical example using Swedish data proves the theoretical results and suggests a rather small average impact on the choice of retirement by engaging private information of life expectancy.
Essay 4: Pensions in the increasingly popular Notional Defined Contribution (NDC) Pay-as-You-Go Schemes are granted based on cohort-specific life expectancy, regardless socioeconomic differences. This risks perverse intra-generational and unintended inter-generational transfers. This paper introduces an alternative with separate annuity pools for different socioeconomic classes. Using unique Swedish data and the Swedish NDC pension system as an example, the analysis shows a significant gap in life expectancy between socioeconomic classes defined by occupation. In the Swedish context, this implies a perverse transfer of 5% of the pension capital from the manual workers to the non-manual workers, which can be abolished by using the group plan. In addition, the group plan also lessens the risk of inter-generational transfers resulting from the gap in life expectancy.
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Julie, Elmerie. "A mathematical model for managing equity-linked pensions." Thesis, University of the Western Cape, 2007. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_1071_1181655014.
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Pension fund companies manage and invest large amounts of money on behalf of their members. In return for their contributions, members expect a benefit at termination of their contract. Due to the volatile nature of returns that pension funds attain, pension companies started attaching a minimum guaranteed amount to member&rsquo
s benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. which prices minimum guarantees in a stochastic financial setting. We conclude this mini-thesis with new contributions where we look at simple alternative ways of pricing minimum guarantees. We conclude this mini-thesis with an approach, related to the work of Brennan and Schwartz [10], whereby the member&rsquo
s benefit is maximised for a given minimum guaranteed amount, which comprises of multi-period guarantees. We formulate a method to find the optimal stream of these multi-period guarantees.
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Stoycheva, Rayna L. "Sustainable governance and management of defined benefit plans in the pubic sector: lessons from the turbulent decade of 2000-2009." Diss., Georgia Institute of Technology, 2011. http://hdl.handle.net/1853/41227.
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This study examined the determinants of public pension fund performance through the lens of agency theory. The study sought to answer the following questions: (1) How much of the fluctuation in the performance of pension plans is due to political interference - either directly from decisions made by legislatures or through the governance structure of the pension boards, after controlling for asset allocation, plan size, and other external factors? (2) Do pension board expertise, education and training, and information disclosure requirements improve the performance of pension plans? (3) Do pension trustees strategically determine the actuarial rate of return (discount rate) in order to reduce contributions in times of fiscal stress for the pension sponsor? Using longitudinal data of pension fund performance over the period 2000 to 2009 and instrumental variables methods to address endogeneity issues, the study found partial support for the agency theory hypotheses. The results indicate that political interference through reduced contributions was the main factor explaining pension performance. There was no direct evidence about the negative impact of politically appointed trustees on pension performance. The impact of these findings for current policy and future research are discussed.
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Stoycheva, Rayna L. "Sustainable Governance and Management of Defined Benefit Plans in the Public Sector: Lessons From the Turbulent Decade of 2000-2009." Digital Archive @ GSU, 2011. http://digitalarchive.gsu.edu/pmap_diss/44.
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This study examined the determinants of public pension fund performance through the lens of agency theory. The study sought to answer the following questions: (1) How much of the fluctuation in the performance of pension plans is due to political interference - either directly from decisions made by legislatures or through the governance structure of the pension boards, after controlling for asset allocation, plan size, and other external factors? (2) Do pension board expertise, education and training, and information disclosure requirements improve the performance of pension plans? (3) Do pension trustees strategically determine the actuarial rate of return (discount rate) in order to reduce contributions in times of fiscal stress for the pension sponsor? Using longitudinal data of pension fund performance over the period 2000 to 2009 and instrumental variables methods to address endogeneity issues, the study found partial support for the agency theory hypotheses. The results indicate that political interference through reduced contributions was the main factor explaining pension performance. There was no direct evidence about the negative impact of politically appointed trustees on pension performance. The impact of these findings for current policy and future research are discussed.
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Hagen, Johannes. "A History of the Swedish Pension System." Uppsala universitet, UCFS, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-199825.
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This report provides an extensive overview of the history of the Swedish pension system. Starting with the implementation of the world's first universal public pension system in 1913, the report discusses the political as well as the economic background to each major public pension reform up until today. It presents the rules and the institutional details of these reforms and discuss their implications for retirement behavior, the general state of the economy and the political environment. Parallel to the development of the public pension system, a comprehensive and quite complex occupational pension system has emerged. This report describes the historical background and the institutional details of the four largest agreement-based occupational pension schemes in Sweden.
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Kiosse, Paraskevi. "Accounting for Defined Benefit Pension Plans in the US : Evidence on value relevance and earnings management." Thesis, Lancaster University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.514457.
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Boleto, Ana Isabel Bezelga. "The suitability of the swedish pension system to the portuguese case." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13176.
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Mestrado em FinançasDesde o início do século XXI que a sustentabilidade futura da segurança social portuguesa tem sido muito discutida, sendo que alguns autores argumentam que esta é sustentável, enquanto outros a consideram insustentável. Os principais fatores apontados para a insustentabilidade do sistema são as decrescentes taxas de fertilidade e de natalidade, bem como o alcance da idade de reforma pela geração "baby-boom". Neste sentido, os defensores da insustentabilidade do sistema argumentam que deveria realizar-se uma mudança de paradigma, nomeadamente a adoção de um sistema de contribuição nocional definida semelhante ao modelo sueco, cujo representa a solução mais viável dado dispor de um mecanismo automático que garante o balanceamento do sistema. Para melhor entender se o modelo sueco seria viável para o caso português, é desenvolvido neste trabalho final de mestrado um modelo de simulação em que Portugal aplicaria o modelo sueco no mesmo ano em que a Suécia o fez. Por último, são retiradas conclusões sobre o impacto financeiro e social que tal adoção teria.
Since the beginning of the 21st century much has been discussed regarding the future sustainability of the Portuguese social security system, some argue it is sustainable while others regard it as unsustainable. The main factors for the unsustainability of the system are centered in the decreasing fertility and birth rates, complemented with the reaching of the retirement age of the baby-boom generation. In this sense, defendants of the unsustainability claim that a change of paradigm should occur, namely the adoption of a notional-defined contribution system like the Swedish model represents the most viable solution, as it displays an automatic mechanism that ensures the system balance. To better understand if the Swedish model would be viable to the Portuguese case, it is developed in this master's final work a simulation model, where the Portuguese system would apply the Swedish model in the same year as Sweden did. Finally, conclusion regarding both financial and social impact of this adoption are drawn.
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Santos, Miguel Duque. "UK pension funds : liability sensitivity analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19509.
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Mestrado em Mathematical FinanceNo Reino Unido, muitos empregadores oferecem aos seus empregados algum tipo de regime de pensões profissionais. Um destes tipos é o regime de pensões de benefício definido, isto é, quando um empregador promete pagar uma certa quantidade (definida) de benefícios de pensão ao empregado baseado no salário final e nos anos de serviço. Deste modo, neste tipo de regime de pensão profissional, o empregador suporta todo o risco, porque tem de garantir o pagamento dos benefícios de reforma aos membros quando eles vencem. Os atuários conseguem estimar os pagamentos futuros e descontá-los para a data atual. Este valor atual dos pagamentos futuros é chamado de responsabilidade e pode ser comparado com o montante de ativos para verificar se há dinheiro suficiente no presente para pagar os benefícios futuros prometidos. Contudo, a responsabilidade está sujeita a variações ao longo do tempo porque está exposta ao risco de juros e inflação. Tendo isto em conta, a Mercer desenvolveu uma estratégia de investimento sofisticada chamada "Liability Benchmark Portfolio" ou LBP que é uma carteira de investimentos de baixo risco composta por obrigações do governo de cupão zero que vão igualar aproximadamente as sensibilidades das responsabilidades a mudanças da taxa de inflação e de juro. A minha tarefa no estágio era calcular estas sensibilidades das responsabilidades, que são necessárias para que a equipa de investimentos consiga construir um LBP. Sendo assim, o risco vai ser reduzido e estamos mais perto de assegurar que os membros do fundo recebam os seus benefícios de pensão.
In the United Kingdom, most employers offer their employees some type of occupational pension scheme. One of these types is a Defined Benefit pension plan, this is when an employer promises to pay a certain (defined) amount of pension benefit to the employee based on the final salary and years of service. So, in this type of occupational pension scheme, the employers bear all the risk, as they have to ensure the payment of the retirement benefits to the members when they fall due. The Actuaries are able to estimate the future payments and discount them to a current date. This present value of the future payments is called the liability and can be compared with the amount of assets to check there is enough money in the present to pay the promised future benefits. However, the liability is subject to variation over time because it is exposed to interest and inflation risk. Taking this into account, Mercer developed a sophisticated investment strategy called the Liability Benchmark Portfolio or LBP which is a low risk investment portfolio composed by zero coupon government bonds that will closely match the sensitivities of the liabilities to shifts in the inflation and interest rate. My task in the internship was to calculate these sensitivities of the liabilities that are required by the investment team to be able to build an LBP. Therefore, the risk will be reduced and we are closer to ensure that the members of the fund will receive their pension benefits.
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Domingos, José Amílcar Neves. "Pension plan funding and market value of the firm : a study on portuguese companies." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14704.
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Mestrado em FinançasO objetivo da presente Tese Final de Mestrado é testar a existência de um efeito direto entre o nível de financiamento do fundo de pensões de uma empresa e o seu valor de mercado. Constituindo uma parte vital do mercado de capitais, o estudo de ativos e passivos associados a planos de pensões é de particular interesse para investidores, shareholders e market makers. Dois métodos distintos, um modelo cross-sectional e um estudo de evento "variable-effect" são utilizados para testar a hipótese de que um aumento do défice do plano de pensões seja incorporado pelo mercado através de um decréscimo de igual dimensão no valor de mercado de uma firma. Para o período 2010-2015 e uma amostra de firmas do PSI Geral, ambos os modelos parecem indicar que o valor de mercado da firma não diminui devido a um aumento do défice no plano de pensões, e que o passivo associado a planos de pensões é apenas mais um componente do passivo. Estes resultados sugerem que os shareholders não têm em conta o nível de financiamento do plano de pensões na avaliação do valor da firma em separado, integrando-o na avaliação do passivo de forma indiferenciada.
The objective of the following Master's Final Work is to test the existence of a direct effect between the funding level of a firm's pension fund and its respective market price. As a relevant part of capital market, the study of pension assets and obligations is of particular importance to investors and market makers. Two distinct methods, a cross-sectional model and a "variable-effect" event study will be used to assess the hypothesis that an increase in pension deficit is reflected in the market value of a firm by a decrease of equal magnitude. For the period between 2010 and 2015, for a selected sample of PSI Geral firms, both models seem to indicate that a firm's market value is not reduced by an increase in pension deficit, and that pension liabilities are already integrated in corporate debt. These results suggest that shareholders do not take in account pension plan funding status when valuing the firm in a way contrasting with the normal evaluation of debt.
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Soares, Mariana Flor Eiras. "UK pension funds : fund portfolio performance analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20707.
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Mestrado em Mathematical FinanceNo UK, indivíduos recebem uma pensão após a reforma, ou se falecer sua/seu esposa/o. Esta pode ser oferecida pelo estado, mas um dos casos mais comuns é; as pessoas recebem-na do seu fundo de pensão ocupacional (derivado do seu caminho de trabalho). Este tipo de pensão é fornecido pelo empregador e acumula benefícios que irão gerar o salário do empregado após a reforma. Para financiar as pensões, os empregadores devem criar um portfólio de investimento, que inclui diversos fundos e classes de ativos (alguns que pretendem gerar maiores retornos, assumindo maiores riscos, e outros que pretendem gerar retornos seguros, mas mais baixos). De modo a monitorizar o desempenho destes fundos, com o fim de entender se está a ser feita uma gestão adequada dos mesmos, é necessário ter em conta os seguintes fatores: gestão de risco, alocação dentro das diferentes classes de fundos e seleção de fundos. Para este efeito é utilizado o método de analise de atribuição, que nos diz o valor que foi adicionado ao portfolio proveniente das decisões do gestor. No atual período de pandemia, que afetou os mercados financeiros de forma considerável, o estudo desenvolvido neste projeto, visa perceber qual foi o impacto desta situação em quatro portfolios diferentes, com diferentes estratégias de investimento, e maioritariamente estudar as diferentes posições que foram assumidas pelos diferentes gestores, com o objetivo de manter a estabilidade do desempenho dos portfolios depois da grande queda dos mercados que se deu com o fecho da economia no inicio de 2020.
In the UK, individuals receive a pension after their retirement or their spouse's death. This pension can be provided by the state, but one of the most common cases is that people will receive it from their occupational pension fund (in result of their work path). This type of pension is sponsored by the employer and it accumulates benefits that will generate the income of a person after their retirement. To fund the pensions of the employees, employers need to create investment portfolios, that include different funds and asset classes (some seek higher growth while assuming higher risk, and others seek guaranteed, but lower returns). To monitor the performance of these portfolios and understand if the management is being done efficiently, one needs to take into consideration: risk management, asset allocation and selection decisions. For this effect, we use the attribution analysis method, which tells us the value that has been added to the portfolio by the active management decisions. In a period of pandemic, that affected the financial markets considerably, the study practiced in this project, aims to understand what was the impact of the situation in four different portfolios, with different investment strategies, and mainly to study the different positions that were assumed by the different managers, in order to keep the portfolios stability after the rough market crash that came with the economic shutdown in the beginning of 2020.
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Durtschi, Cindy 1953. "The influence of changes in accounting and tax regimes on the emphasis placed by firms on defined benefit pension plans." Diss., The University of Arizona, 1998. http://hdl.handle.net/10150/288854.
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During the last ten years, the number of workers covered by defined benefit retirement plans has fallen precipitously. At the same time the number of workers covered by defined contribution plans has climbed to record levels. This study examines whether the changes in accounting and tax regimes contributed to the decreasing emphasis by firms on defined benefit pension plans. I control for economic variables identified in prior studies as determinants of pension choice. I also control for variables identified in the popular press as being responsible for the change in emphasis. This study extends prior pension choice literature by looking at previously identified pension determinants over an extended period of time and interacts those determinates with changes in accounting and tax regimes. I find that both the changes in accounting and tax regimes motivated firms to de-emphasize defined benefit plans.
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Boon, Ling-Ni. "Stakeholders in Pension Finance." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED030.
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La présente thèse s'intéresse à trois acteurs du financement des régimes de retraite : le législateur, l'assureur et l’individu. Dans un environnement en proie à un comportement déviant du marché financier et à des évolutions démographiques défavorables, le rôle de ces parties prenantes doit impérativement faire l’objet d’une réévaluation pour relever le défi de la pérennité du financement des retraites. L’étude de la règlementation et de la conception des régimes a été réalisée en intégrant des caractéristiques types du futur paysage des retraites, telles que le poids de plus en plus important du risque assumé par l’individu ou l’éventuelle participation d'investisseurs boursiers dans l’offre de contrats. Les conclusions de cette étude permettent de dégager des orientations en vue de la gestion du risque de longévité pour les individus, une évaluation de l’attrait de l’exposition au risque de longévité pour les investisseurs, des informations sur l’élaboration des contrats pour les assureurs ainsi que des propositions, pour les décideurs politiques, de mesures règlementaires favorisant la durabilité du paysage des retraitesThis dissertation examines three stakeholders in pension finance: the individual, the policymaker, and the pension provider (e.g., an insurer or a pension fund). In a setting beset by unforseen financial market circumstances and demographic changes that disfavor financial security in retirement, a re-evaluation of these stakeholders’ role is necessary. We explore the regulation and design of retirement plans by incorporating features that characterize the future retirement landscape, such as the increasing burden of risk borne by the individual, and the potential involvement of market investors in the provision of retirement contracts. The implications of our findings encompass guidance for individuals in managing longevity risk, evaluation of the appeal of longevity risk exposure to investors, insights on contract design for the insurer, and proposals to the policymaker on regulatory measures that foster a sustainable retirement environment
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Carvalho, Tiago Lima de. "Asset-liability management in pension funds." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21054.
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Mestrado em Mathematical FinanceOs fundos de pensão têm uma participação representativa nos mercados financeiros, seja considerando o capital investido ou o perfil de escolha de ativos. Nos planos de pensão de benefício definido, o foco é assegurar cobrir os passivos com os ativos existentes. A gestão de ativos e passivos (em inglês ALM) é o conjunto de métodos e ferramentas projetadas com a finalidade de orientar como os fundos devem investir seus ativos a fim de que, em determinada data, seja possível pagar seus passivos. Este conceito é amplamente utilizado em empresas seguradoras e fundos de pensão. O portfolio de investimentos é construído de acordo com análises de mercado, definição dos riscos em que o fundo deseja se expor e os objetivos de retorno. O propósito deste projeto é, aplicando a teoria de investimentos orientados a passivos, recuperar o nível de financiamento de um fundo de pensões, a fim de cumprir com as metas do esquema e se expondo ao menor risco possível. Este projeto terá como informação base a estimativa dos passivos, da taxa de juros e da inflação. A partir deles, contruiremos o portfolio de investimentos, projetaremos o fluxo de caixa e monitoraremos o risco de não cumprimento dos objetivos. Para validar a consistência do modelo, iremos comparar contra uma estratégia mais arriscada. As conclusões, após contextualização (prática e teórica), demonstram que é possível recuperar o nível de financiamento, de acordo com prazos estabelecidos e com um nível moderado de risco.
Pension funds have a very representative role in the financial markets, considering investments made and the asset allocations profile. In defined benefit pension schemes, the major focus is to secure the participants future payments with the accumulated contributions. Or, in other words, to cover the liabilities with the assets. Asset Liability Management (ALM) is a collection of methodologies and tools structured to guide the assets investments in order to protect the liabilities. This concept has been used largely in insurance companies and pension funds. It analyzes market expectations, scheme risks and objectives, in order to create the best asset investment option. The purpose of this project is, using a Liability Driven Investment (LDI) technique, recover the Funding Ratio of a pension fund, achieve the scheme goals and minimize the risk. Project liabilities, interest rate and inflation are the bases of this work. Build the asset portfolio, project the fund cashflow and track the risk are the principal steps to achieve the goal. To check the results adherence, the output will be compared with a bold recovery strategy. To conclude, after setting the context (theoretical and practical perspectives), the work will show how to recover a Funding Ratio using a developed model and keeping the risk inside pension plan limits.
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Iglesias, Carlos A. Kim Asa D. "Knowledge of the military retirement system among Naval Postgraduate School officers and analysis of associated retirement information sources." Monterey, Calif. : Naval Postgraduate School, 2009. http://edocs.nps.edu/npspubs/scholarly/MBAPR/2009/Jun/09Jun%5FIglesias%5FMBA.pdf.
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"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2009."Advisor(s): Henderson, David R. ; Eitelberg, Mark J. "June 2009." "MBA professional report"--Cover. Description based on title screen as viewed on July 14, 2009. Author(s) subject terms: Military Retirement, Retirement Information Sources, Retirement Information Systems, General Military Training, Military Compensation, Defined Benefit Plan, Defined Contribution Plan, Military Pension, Military Retirement Fund, and Military Retirement Communication Modes. Includes bibliographical references (p. 73-74). Also available in print.
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Gasparini, Marise Theodoro da Silva. "Tendências nos desenhos de planos de benefícios nos fundos de pensão do ES." reponame:Repositório Institucional do FGV, 2001. http://hdl.handle.net/10438/3776.
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Previous issue date: 2001o trabalho discute os fatores que condicionaram a migração de planos de beneficios entre os Fundos de Pensão localizados no Estado do Espírito Santo. O mais antigo modelo de plano de beneficios implantado no Brasil, o plano de beneficio definido, tem características bastante vantajosas aos participantes, pois as empresas patrocinadoras assumem os riscos de desequilíbrio do plano, e os beneficios futuros são assegurados aos participantes. O segundo modelo, mais recente no país, tem como característica principal o fato de que o participante assume os riscos do plano, e os beneficios futuros dependem de diversos fatores, como rentabilidade, tempo de participação, entre outros, deixando de existir garantia aos participantes. Apesar disso, os Fundos de Pensão tem implantado processos de migração de planos de beneficio definido para contribuição definida com sucesso. O texto procura identificar as razões e conseqüências da migração, estabelecendo correlações entre os dois modelos, identificando suas diferenças e semelhanças, o papel exercido pelas empresas patrocinadoras e a estratégia de convencimento dos participantes. Pretende-se que as reflexões sobre esse processo possam contribuir para que os Fundos de Pensão e outros pesquisadores interessados possam ter um nível maior de compreensão e fundamentação sobre o assunto.
This dissertation discusses the factors that have created the framework for the migration of the pension plans among the pension funds in the state of Espirito Santo. The first benefit plan model in Brazil, the defined benefit plan, has many advantages for the participant. Their risks are supported by the sponsor of the plan, and future benefits are assured to the participants. The second model, more recently introduced in the country, has its main point in the fact that participants have to bear the risks, and future benefits depend on many factors like the historical performance of the plan and time of participation, and there is no guaranty to the participants. Regardless these facts, pension funds have adopted successful processes for the migration from defined benefits plans to defined contribution plans. This text identifies reasons and consequences of those process of migration, establishing correlations, differences and similarities between the two models, and the role of the sponsors and their strategies in persuading the participants. We intend to raise questions upon this process, in order to contribute for a greater levei of comprehension of the issue.
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Atto, Demirdag Maria, and Öglü Filiz Södergren. "Aktuariella antaganden : En studie om svenska koncerners val." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-26712.
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Purpose: The purpose of this paper is to investigate whether there is a correlation between the actuarial assumptions, of listed groups in Large Cap on the Nasdaq Stockholm, equity ratio and their pensionplans funding status. Method: The study is based on a quantitative research method, where the analysis of annual reports takes place. The quantitative research method has enabled the paper to perform related analyzes and comparisons of means between groups, for listed companies equity ratio and pension obligation, and the relation to its actuarial assumptions. Correlation measurements are made using a non-parametric method, Spearman's rho, then further tested using one-sided hypotheses t-test. Theory: The backbone of the thesis is presented using two theories, earnings management and the principal-agent theory. These theories are intertwined with the previous researches, which also dealt with the essay topic of earnings management in previous years and in other countries. Empirical: Correlation analyzes between the studied actuarial assumptions and corporate groups solidity and pension financial status is presentedusing tables and charts. These are further analyzed using hypothesis tests and scatterplots. Conclusion: All tests resulted in very weak correlation between the different variables and can there for not be classified as significant. The conclusion that companies, listed in Large Cap on Nasdaq Stockholm, tend to make its actuarial assumptions in order to try to achieve a certain equity ratio, or to try to get their unfunded pension plans seem more funded than they actually are, is not possible to make.
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Bergliden, Cecilia, and Vendela Lindvall. "Avsättningar till pensioner : En studie om IAS 19 och konsekvenserna av dess implementering." Thesis, Södertörn University College, School of Business Studies, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-490.
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Background: At the turn of the year 2004/2005, IAS 19 replaced Tryggandelagen (TrL) and RR 29 as the accounting standard in Swedish concerns. This introduction was associated with a certain apprehension for the possible changes in the companies’ pension liabilities and equity.
Purpose: To illustrate the difficulties of the introduction of IAS 19 by observing how it differs from TrL, and what kind of problems these differences can cause.
Procedure: Individuals who are well up in, and work with pension liabilities have been interviewed. After this follows an example of the calculated pension liability of a company, to illustrate the differences between the calculations according to TrL and IAS 19. To conclude the chapter, a comparison between a number of companies from the Stockholm stock exchange is made to establish their various actuarial assumptions.
Method: The essay mainly follows the qualitative research method, since this method is more appropriate when the substance in the matter is based on detailed differences and opinions.
Results and conclusions: The introduction of IAS 19 has taken time and been an expensive matter, although the expenses weren’t as great as feared. The introduction gave positive effects, such as an increased control of the pension liabilities. Because of this, there is a positive attitude towards IAS among the accounting profession. However, problems connected with the introduction have occurred, such as complicated procedures and “teething troubles”, but the advantages and disadvantages make up for the other.
The companies’ right of self-determination when it comes to actuarial assumptions seems to cause problems with for example the transparency. Therefore it is recommended that the companies should have to justify their choice of assumptions. It is also recommended that there should be more specified criteria of which assumptions that should be included in the annual report.
Bakgrund: Vid årsskiftet 2004/2005 ersatte IAS 19 Tryggandelagen (TrL) och RR 29 som redovisningsstandard i svenska koncerner. Det här införandet förknippades med en viss oro över förändringar i företagens pensionsskulder och eget kapital.
Syfte: Att belysa svårigheterna vid införandet av IAS 19 genom att se hur IAS 19 skiljer sig från Tryggandelagen och vilka problem som de här skillnaderna kan medföra.
Tillvägagångssätt: Personer som arbetar med och är väl insatta i ämnet redovisning av pensionsskulder intervjuas. Företagsexempel visas för att belysa skillnader vid uträkning av pensionsskulder enligt TrL och IAS 19. Avslutningsvis görs en jämförelse mellan ett antal företag på Stockholmsbörsen för att visa deras olika aktuariella antaganden.
Metod: Huvudsakligen följer uppsatsen den kvalitativa forskningsmetoden eftersom den metoden lämpar sig bäst för att få substans i materialet som baseras på detaljerade skillnader och åsikter.
Resultat och slutsatser: Införandet av IAS 19 har tagit tid och varit kostsamt, men kostnaden blev inte lika stor som befarat. Införandet gav positiva fördelar, såsom ökad kontroll av kostnaden för pensionsförpliktelser. Därför råder en positiv inställning till IAS bland redovisningsprofessionen. Problem i form av både komplicerat förfarande och barnsjukdomar finns sammankopplat med införandet, men fördelarna uppväger nackdelarna.
Företagens självbestämmanderätt gällandes de aktuariella antagandena förefaller kunna orsaka problem med bland annat transparensen. Därför rekommenderas motivering av antagandena och mer specifika regler för vilka antaganden som ska anges i årsredovisningarna.
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Sartori, Robinson Luis. "Relevância da taxa de desconto atuarial na avaliação dos benefícios pós-emprego com características de benefício definido de previdência privada fechada e seus reflexos na patrocinadora." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2015. http://hdl.handle.net/10183/132907.
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A previdência complementar é um importante instrumento para a complementação de renda na aposentadoria e configura-se como benefício atrativo às carreiras que as provêm. Pela própria natureza, geralmente produz efeitos a longo prazo e demanda avaliação atuarial para a determinação da saúde financeira dos planos, utilizando-se, para tal, de premissas aderentes às características econômicas e biográficas da população alvo. A presente dissertação procura, a partir da premissa taxa de desconto, apresentar as variações da obrigação atuarial frente ao nível da taxa de juros, principalmente quando aplicada a um cenário de oscilação relevante desta última. Procura-se identificar a pertinência da variação de uma obrigação de longo prazo em virtude de uma premissa que varia no curto prazo. O estudo foca os reflexos nas patrocinadoras de benefícios pós-emprego com características de benefício definido de previdência privada fechada, conforme normativos emitidos pelo IASB (International Accounting Standards Board), CPC (Comitê de Pronunciamentos Contábeis) e CVM (Comissão de Valores Mobiliários).The complementary pension is an important tool for supplementary income in retirement and appears as attractive benefit to careers that offer. Generally produces long-term effects and demand actuarial valuation to determine the financial health of the plans, using up to this end, economic assumptions and biographical characteristics of the target population. This dissertation seeks from the discount rate assumption, demonstrate the variations of actuarial liabilities against the level of interest rates, especially when applied to a relevant oscillation scenario. Seek to identify the relevance of changes in a long-term obligation by virtue of a premise that varies in the short term. The study focuses on the reflex in the sponsors of postemployment benefits with defined benefit characteristics of closed pension, conform regulations issued by the IASB (International Accounting Standards Board), CPC (Accounting Pronouncements Committee) and CVM (Brazilian Securities Commission).
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Coutinho, Maria da Graça de Tavares e. Távora Pereira. "Analysing data from pension schemes : data quality and relevance for actuarial valuations." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19018.
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Mestrado em Actuarial ScienceOs dados são o objeto de uma análise atuarial. O primeiro passo de uma avaliação é a revisão dos dados, juntamente com a definição dos pressupostos necessários e tendo conhecimento da teoria atuarial - estas componentes juntas permitirão ao atuário realizar os cálculos necessários e interpretar os resultados obtidos. Tendo isto em consideração, a qualidade dos dados sobressaiu como um elemento fundamental, tendo sido o tema escolhido para este trabalho. Depois de um estágio no escritório de Lisboa da Willis Towers Watson, percebi que os dados são um campo bastante importante, tendo sido algo com que lidei diariamente. Neste trabalho, darei um conhecimento inicial sobre fundos de pensões, especialmente fundos de pensões do Reino Unido, uma vez que foram o meu foco durante o estágio. Apresentarei ainda um caso de estudo sobre dificuldades nos dados e o seu impacto numa avaliação, de forma a fornecer uma ilustração com números reais e o impacto que pequenos problemas podem causar. Para este estudo, um cliente de treino foi usado e os problemas apresentados foram baseados na minha experiência no trabalho diário ? todas as incoerências apresentadas no Capítulo 5 foram encontradas (e corrigidas) em clientes reais nos quais trabalhei durante o estágio.
Data is the object of an actuarial analysis. Reviewing the data is the first step of a valuation, along with setting up assumptions and having the knowledge about the actuarial theory - these components together will enable the actuary to perform the necessary calculations and interpret its results. Having this in mind, data quality is something worthy to give a thought about and that's what this work will be for. After an internship at Willis Towers Watson Lisbon office, I realised data was a subject of high importance and the one I dealt with on a daily basis. Here, I will give some background knowledge about pension schemes, mainly United Kingdom pension schemes as they were my main focus. A case study about data issues and their impact on a valuation will be presented to give the reader real numbers and the real impact some minor data issues can have. For this study, a training client was used and the problems described were based on my work-experience - all inaccuracies present in Chapter 5 were found (and corrected) in real clients during my internship.
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Park, Youngkyun. "Essays on retirement plans and fund commonalities within mutual fund families." Diss., Temple University Libraries, 2008. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/19082.
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Business AdministrationPh.D.
This dissertation studies underfunding in defined benefit (DB) pension plans and firms' contribution behavior, 401(k) plan participant investments in lifecycle funds under plan sponsors' initiative, and fund commonalities within mutual fund families. Responding to the recent decline in DB pension funding, firms have increased pension contributions to their underfunded plans. In the first essay I empirically examine firms' contribution behavior to underfunded DB plans and funding choice for pension contributions. I find that firms reveal different sensitivities of pension contributions to underfunding across aggregate funding levels. Furthermore, at a lower funding level firms have the greater sensitivity of pension contributions to underfunding and significantly utilize the tax deductibility of pension contributions. As for a funding choice to fund pension deficits, firms use debt financing at a low funding level, but utilize internal funding by decreasing capital expenditures at a lower funding level. Firms that use the debt financing are likely to have investment-grade credit ratings or high debt leverage, while firms that use the internal funding are likely to be high-levered ones. Recently lifecycle funds have rapidly grown in self-directed retirement plans. Despite the increasing popularity among plan sponsors and participants, there are few empirical studies on lifecycle funds. In the second essay, I examine the recent lifecycle fund adoption behavior of 401(k) plan participants from 2004 to 2006. I find that the likelihood of participants changing an investment strategy to adopt lifecycle funds is not significantly affected by participant demographic characteristics, but by participant account and plan design features. This study extends our understanding of 401(k) plan participants' investment behavior by finding (1) that the substitution of lifecycle funds for balanced funds, as well as the designation of lifecycle funds as a plan default, strongly affect participants' investments in lifecycle funds and (2) that balanced fund holdings of participants are negatively associated with their lifecycle fund investments. Mutual funds account for a significant portion of household financial assets and retirement assets. An understanding of characteristics of mutual funds is crucial to fund investors--especially those whose retirement nest eggs are in mutual funds. In the final essay, I examine the impacts of fund commonalities within mutual fund families on fund characteristics in terms of return residual correlations and fund operating expenses. As fund commonalities within a fund family, I focus on common stock holdings and common management of funds. I find that common stock holdings and an existence of a common manager of funds are positively related to return residual correlations, but negatively related to fund operating expenses. This finding suggests that when investors select low-cost equity funds within a family, they should be aware that there exists an investment risk that the fund commonalities that lower fund operating expenses may additionally increase return correlations of the funds.
Temple University--Theses
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Pinto, João Pedro Neto Ramos. "Plano de pensões de empresas e o valor da acção : o caso português." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10750.
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Mestrado em Economia Monetária e FinanceiraO objectivo deste trabalho é averiguar empiricamente a existência de uma relação entre o nível de financiamento das responsabilidades com os planos de pensões de benefício definido e o valor de mercado da empresa. Esta relação tem importantes implicações na poupança agregada e no governo das sociedades. Foram seleccionadas para análise as empresas do PSI Geral que providenciavam este tipo de plano, abrangendo um período de 6 anos, de 2005 até 2010. O resultado das estimações revela uma relação estatisticamente significativa apenas para o ano de 2008. Estes resultados mantêm-se após a exclusão das empresas do sector bancário cujas responsabilidades abrangem o primeiro e segundo pilar da protecção social.
The aim of this study is to investigate empirically the existence of a relationship between the funding status of corporate liabilities with defined benefit pension plans and its market value. This relationship has important implications for aggregate saving and corporate governance. We select for our analysis the PSI Geral companies that provided this type of plan, covering a period of six years from 2005 to 2010. The results of our estimations reveal a statistical significant relationship only for the year 2008. These results remained after the exclusion of the banking sector companies whose liabilities include the first and second pillar of social protection.