Optional Pension Fund Management Concerning for Surplus and Contribution Risks

• Main Authors: Wa-Ping Hung, 洪偉屏
• Other Authors: En-Der Su
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/43520884542666580363

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 92 === This thesis intends to explore the optional fund management of the fund manager for surplus risk and contribution risk，the methodology of the research is to simulate that when the scheme sponsor concerns the both of those risks，how to minimize those risks and exploring the optional asset allocation of pension scheme. Synthesizing Myners Report and the conclusion of this thesis intends to that : First，every pension scheme will have a scheme-specific funding standard that reflects the maturity structure of the liabilities of the scheme. For the defined benefit schemes in which the size of the pension benefit depends on factors such as final salary，length of pensionable service，age of member. Second，the management of asset allocation of the pension scheme. Concerning for surplus and contribution risks，the asset classes of the scheme will be selected on the basis of their match with liabilities in terms of correlation and volatility，rather than on the basis of expected return. Third，the change of performance measurement. In tradition the measurement of the portfolio performance has been dominated by “peer-group” benchmarks，the expected return and volatility of portfolio have been the first concerned factors. The performance measurement of LDPA considers the management of asset-liability management，and the only information that is required over the LDPA performance measurement framework is as follows: the present value of the pension liabilities(as determined by the pension scheme’s actuary)，together with the pay-out rate on those，and the value of LDAs，together with a customised benchmark return on these.