Sumários
ALM in Pension Funds
5 Dezembro 2013, 08:00 • Fátima Pires Lima
Actuarial Factors and their interrelationship in an ALM Model
Definition of Risk, Risk analysis and Risk Management.
The Three main categories of ALM Models: Static Models, Dynamic Models, Stochastic Models.
Macauley Duration, Convexity, stress tests and scenarios testing, and stochastic model.
Model for simulate Mortality, termination, retirement and other decrements, annual salary increases, annual inflation and Investment Returns.
Example of simulation of number of death and plan termination.
Example of a Visual Basic program to simulate the number of death.
Investment policy and measurements of investment performance
28 Novembro 2013, 08:00 • Fátima Pires Lima
Investment policy definition regarding, the rate-of return objective and the risk tolerance settings.
Decisions, to make, regarding the investment strategy.
Measurements of investment performance used in Pension Funds: IRR, TWR, alpha, beta, coefficient of determination, tracking error, sharpe ratio and information ratio.
DC Pension Funds
21 Novembro 2013, 08:00 • Fátima Pires Lima
DC pension Funds: expected value of individual accounts and benefits at retirement age
DC pension plans with target-benefit
Solving an exercise
Actuarial Gains and losses
14 Novembro 2013, 08:00 • Fátima Pires Lima
Determining actuarial gains and losses
Solving an exercise