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Pension fund risk management [30]

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Bullet points include: Task is to price option-like elements in the liabilities Again can be done using economic scenario simulation and taking a suitable probability-weighted average value No longer need to include added dimension involving estimating loss given sponsor default at time t If aiming to be market consistent then probabilities again need to be risk-neutral Liabilities may depend on assumed management actions (as per Solvency II)

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