The Risk Of The Enterprise Annuity Fund Management Studies

In this dissertation, We investigate risk management with respect to occupational pension funds. The characteristics of occupational pension funds are discussed first. Then the risk management in occupational pension funds is analyzed in detail utilizing the risk identification, assessment, and monitoring methodologies of modern risk management theory. The quantitative analysis is obtained by using a stochastic model for pension funding and solving it.Firstly, we introduce two types of occupational pension systems from the point of view of risk management: defined benefit (DB) plan and defined contribution (DC) plan. The differences between the two plans are examined in terms of scheme design, system costs, investment decision, risk sharing, management of the system, payment of pensions and tax policy, etc. We introduce a model with which we can compare the uncertainties of the benefits associated with the DB plan with that of the DC plan. We show the pros and cons of the two plans under different situations. We also identify certain problems in designing occupation pension plans that our nation should consider.Secondly, we identify and classify the main risks in occupational pension funds in China based on experience from pension fund management in other countries. Considering the characteristics of pension funds, we discuss all of the risks associated with pension funds which include: investment risk, living risk, asset liability surplus risk, law and policy risk, morality risk, interest rate risk, exchange rate risk, and inflation risk. In addition, we illustrate the risky areas in the occupational pension systems through case studies.Thirdly, we study the risk assessment and risk measurement of occupational pension funds. By introducing some measures that examine the distribution of portfolio risk and correlation within the asset allocations. We investigate the relationship between risks of certain asset classes and those of the portfolio.Forthly, According to the characteristics of different risk types, we present techniques of minimizing and controlling risks associated with occupational pension funds. In particular, we...