Lead PI: Prof. John Cotter
The main aim of this work package is to incorporate systematic longevity risk in the context of a Defined Contribution plan design that makes pension liability-related risk an explicit consideration. Further we plan to develop a risk-based pricing model for Defined Benefit pension schemes. This pricing model aims to work out the fair value of future pension liabilities. We also consider the pension fund asset and liability management (ALM) problem that faces DB plans.