IDEAS home Printed from https://ideas.repec.org/a/aza/rmfi00/y2009v2i2p130-140.html
   My bibliography  Save this article

Pension fund risk management: Multi-stakeholders, risk management and the embedded options approach

Author

Listed:
  • Kocken, Theo

Abstract

Pension funds have gradually become institutions where various stakeholders — retirees, employers and employees — share the risks. These risk-sharing agreements imply that various complex options, with different characteristics, are ‘traded’ within the pension fund. Different stakeholders assume different kinds and levels of risk that need to be valued and managed. The approach put forward in this paper aims to make the valuation and risk characteristics of these embedded options transparent. This approach is gaining importance as the new form of risk management for pension funds. It has important applications in solvency management, merger and acquisition activities, pension fund redesign and hedging pension fund risks. The exact structure of the models and the corresponding assumptions are to a large extent omitted in the text. The underlying research in this paper and the quantitative results are based on the author's book, ‘Curious Contracts. Pension Fund Redesign for the Future’. Anyone wishing to check the results or understand the quantitative modelling of embedded options can download the text, free of charge, from www.cardano.com.

Suggested Citation

  • Kocken, Theo, 2009. "Pension fund risk management: Multi-stakeholders, risk management and the embedded options approach," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 2(2), pages 130-140, March.
    • Handle: RePEc:aza:rmfi00:y:2009:v:2:i:2:p:130-140
    as

    Download full text from publisher

    File URL: https://hstalks.com/article/3155/download/
    Download Restriction: Requires a paid subscription for full access.
    File URL: https://hstalks.com/article/3155/
    Download Restriction: Requires a paid subscription for full access.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    embedded options; risk management; pension funds; sponsor covenant; conditional indexation; pension deal; contingent claims;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aza:rmfi00:y:2009:v:2:i:2:p:130-140. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Henry Stewart Talks (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.