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Evaluating the impact of risk-based funding requirements on pension funds

Author

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  • Jordy Peek
  • Andreas Reuss
  • Gerhard Scheuenstuhl

Abstract

The objective of this study is to analyse what the quantitative funding requirements for pension funds with defined benefit plans would be, if Solvency II (based on the QIS 3 methodology) would be applied. Also possible extensions of the Solvency II methodology that seem necessary in order to reflect the specifics of pension funds will be discussed.

Suggested Citation

  • Jordy Peek & Andreas Reuss & Gerhard Scheuenstuhl, 2008. "Evaluating the impact of risk-based funding requirements on pension funds," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2008(1), pages 197-219.
    • Handle: RePEc:oec:dafkad:5kzllbzst3s5
    DOI: 10.1787/fmt-v2008-art8-en
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    Cited by:

    1. Tak Siu, 2012. "A BSDE approach to risk-based asset allocation of pension funds with regime switching," Annals of Operations Research, Springer, vol. 201(1), pages 449-473, December.

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