Seminarium vid matematisk statistik, 12 nov
Anordnas av Stockholms Universitet / Matematiska Institutionen.
Onsdagen den 12 november kl 15:15 håller Andriy Andreev (SU) ett seminarium med titeln Long-term expected rate of return: setting projections of pension fund solvency right.
Lokalen är Cramér-rummet, rum 306, hus 6 i Kräftriket, se http://www.math.su.se/om-oss/hitta-till-oss.
Abstract: First, we discuss widely held errors and misconceptions about the long-term expected rate of return and introduce a measure that sets it right. The valuations are discussed using ALM (asset liability management) setting, where the main goal is to exceed the “liability return”. The measure we introduce, allows for many close-form solutions and provides an alternative to most of approximations commonly used by practitioners. We also discuss some of the asymptotic properties, i.e.stability of the framework in the long run.
Second, we use this measure to spotify differences in projected pension fund solvency under alternative valuation regimes: it comes every time as surprise how dramatic effect that the choice of valuation approch has on long-horizon solvency projections.