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Pension fund risk management [26]

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Bullet points include: Additional challenge. If heavily in deficit and sponsor relatively small then sponsor may be unlikely to be able to afford to make good any deficit. In EIOPA consultation this (loosely) corresponds to the maximum available sponsor support. Correlation between sponsor default and level of underfundedness becomes very strong. Perhaps can be handled by refining (or simplifying?) pricing model. See e.g. material presented to IFoA sessional research meeting on 25 January 2013, i.e. IFoA (2013), Barrie and Hibbert (2013) and PWC (2013)

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