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- W2293583103 abstract "With Value-Based ALM the financial policy is not only evaluated in terms of the uncertain future financial position and balance sheet, but also in terms of the exposureof the beneficiaries to the total risk embedded in the pension deal. Traditionally, ALM studies do not explicitly reveal which stakeholders bear the risks in the pension deal when the investment strategy changes or in case of pension redesign. Value-based ALM does. This chapter shows how to identify contingent claims and embedded options on the balance sheet of collective public schemes. We develop an econometric model which can be used for classic ALM and the consistent pricing of embedded options. We illustrate the framework in the context of pension redesign and in the context of asset management and demonstrate how the embedded options reveal risk transfers between employers and beneficiaries. We demonstrate how a switch from a calendar rebalancing to a fixed strategic asset allocation towards a more risk-driven dynamic asset allocation can increase the participant share in total risk, while the employer share in risk decreases substantially. Classic ALM optimizes the policy, while Value-Based ALM can be used to ensure that this takes place on fair economic terms between stakeholders." @default.
- W2293583103 created "2016-06-24" @default.
- W2293583103 creator A5067691137 @default.
- W2293583103 date "2012-01-01" @default.
- W2293583103 modified "2023-09-25" @default.
- W2293583103 title "Pricing Embedded Options in Value-Based ALM" @default.
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- W2293583103 doi "https://doi.org/10.2139/ssrn.1995054" @default.
- W2293583103 hasPublicationYear "2012" @default.
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