Recreating Sustainable Retirement Resilience, Solvency, and Tail Risk

The financial crisis and the ensuing Great Recession alerted those seeking to protect old-age security, about the extreme risks confronting the financial and political institutions comprising our retirement system. The workforce of today and tomorrow must count on longer lives and deferred retirement, while at the same time it is taking on increased responsibility for managing retirement risk. This volume explores new ways to think about, manage, and finance longevity risk, capital market risk, model risk, and regulatory risk. This volume offers an in-depth analysis of the 'black swans' that threaten private and public pensions around the world. Capital market shocks, surprises to longevity, regulatory/political risk, and errors in modelling, will all have profound consequences for stakeholders ranging from pension plan participants, plan sponsors, policymakers, and those who seek to make retirement more resistant. This book analyzes such challenges to retirement sustainability, and it explores ways to better manage and finance them. Insights provided help build retirement systems capable of withstanding what the future will bring.

1 - Introduction: Recreating Retirement Sustainability
2 - Managing Capital Market Risk for Retirement
3 - Implications for Long-term Investors of the Shifting Distribution of Capital Market Returns
4 - Stress Testing Monte Carlo Assumptions
5 - Modeling and Management of Longevity Risk
6 - 1. Longevity Risk Management, Corporate Finance, and Sustainable Pensions
7 - 1. Model Risk, Mortality Heterogeneity, and Implications for Solvency and Tail Risk
8 - The Securitization of Longevity Risk and Its Implications for Retirement Security
9 - Evolving Roles for Regulators: Toward Better Risk Control?
10 - Developments in European Pension Regulation: Risks and Challenges
11 - Extreme Risks and the Retirement Anomaly
12 - Strategies for Sustainable Defined Benefit Pension Funds
13 - The Funding Debate: Optimizing Pension Risk within a Corporate Risk Budget

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, is the Managing Director and Head of Index Applied Research at MSCI Inc.