Recreating Sustainable Retirement Resilience, Solvency, and Tail Risk

by Mitchell, Olivia S.; Maurer, Raimond; Hammond, Brett

• ISBN13: 9780198719243
• ISBN10: 0198719248
• Format: Hardcover
• Copyright: 2014-12-16
• Publisher: Oxford University Press

Author Biography

Olivia S. Mitchell, International Foundation of Employee Benefit Plans Professor of Business Economics/Public Policy and Insurance/Risk Management, Director of the Boettner Center for Pensions and Retirement Research, and Executive Director of the Pension Research Council, Wharton School,Raimond Maurer, Chair of Investment, Portfolio Management, and Pension Finance in the Faculty of Economics and Business Administration, Goethe University of Frankfurt,Brett Hammond, Managing Director and Head of Index Applied Research, MSCI Inc

Olivia S. Mitchell is International Foundation of Employee Benefit Plans Professor of Insurance/Risk Management, Professor of Business Economics/Public Policy, Executive Director of the Pension Research Council, and Director of the Boettner Center for Pensions and Retirement Research at the Wharton School. Concurrently Dr. Mitchell is a Research Associate at the National Bureau of Economic Research and a Co-Investigator for the Health and Retirement Study at the University of Michigan. Her main areas of research and teaching are pensions, insurance and risk management, public finance, and labor markets, with an international focus. She received her B.A. in Economics from Harvard University and her M.A. and Ph.D. degrees in Economics from the University of Wisconsin-Madison.

Raimond Maurer holds the endowed Chair of Investment, Portfolio Management, and Pension Finance in the Finance Department at the Goethe University of Frankfurt. His research focuses on asset management, life-time portfolio choice, and pension finance. He serves in professional capacities for the Society of Actuaries, the Association of Certified International Investment Analysts, and the Advisory Board of the Wharton School's Pension Research Council. He received his habilitation, his Ph.D., and his Diploma in business from Mannheim University.


P. Brett Hammond, Jr. is the Managing Director and Head of Index Applied Research at MSCI Inc.

Table of Contents

1. Introduction: Recreating Retirement Sustainability, Olivia S. Mitchell and Raimond Maurer
Capital Market and Model Risk
2. Managing Capital Market Risk for Retirement, Enrico Biffis and Robert Kosowski
3. Implications for Long-term Investors of the Shifting Distribution of Capital Market Returns, Jim Moore and Niels Pederson
4. Stress Testing Monte Carlo Assumptions, Marlena Lee
Longevity Risk
5. Modeling and Management of Longevity Risk, Andrew Cairns
6. 1. Longevity Risk Management, Corporate Finance, and Sustainable Pensions, Guy Coughlan
7. 1. Model Risk, Mortality Heterogeneity, and Implications for Solvency and Tail Risk, Michael Sherris and Qiming Zhou
8. The Securitization of Longevity Risk and Its Implications for Retirement Security, Richard MacMinn, Patrick Brockett, Jennifer Wang, Yijia Lin, and Ruilin Tian
Regulatory and Political Risk
9. Evolving Roles for Regulators: Toward Better Risk Control?, E. Philip Davis
10. Developments in European Pension Regulation: Risks and Challenges, Stefan Lundberg, Cardano, Ruben Laros, and Laura Rebel
11. Extreme Risks and the Retirement Anomaly, Tim Hodgson
Implications for Plan Sponsors
12. Strategies for Sustainable Defined Benefit Pension Funds, Amy R. Kessler
13. The Funding Debate: Optimizing Pension Risk within a Corporate Risk Budget, Geoff Bauer, Gordon Fletcher, Julien Halfon, and Stacy Scapino