Hostname: page-component-cd9895bd7-8ctnn Total loading time: 0 Render date: 2024-12-23T12:08:18.237Z Has data issue: false hasContentIssue false
  • English
  • Français

Actuaries, pension funds and investment

Published online by Cambridge University Press:  20 April 2012

T. G. Arthur  and
P. A. Randall
Get access Rights & Permissions [Opens in a new window]

Abstract

The authors discuss the investment of pension and other institutional funds. stressing a theme of investing to meet liabilities. Their aim is to stimulate debate by actuaries and the investment community, leading to the development of better approaches to pension fund investment and its monitoring.

The first part of the paper considers the matching of assets to liabilities, concentrating on a major principle applicable to actuarial valuations where assets and liabilities are mismatched.

The paper goes on to consider principles of institutional investment and includes discussions of the meaning and measurement of risk, the setting of investment objectives, decision-making, asset allocation and investment performance monitoring.

Keywords

InvestmentMatchingPension SchemesRisk
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 117 , Issue 1 , June 1990 , pp. 1 - 49
Copyright
Copyright © Institute and Faculty of Actuaries 1990

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

(1) Elton, E. J. & Gruber, M. J. (1987) Modern Portfolio Theory and Investment Analysis (3rd Edition). John Wiley & Son.Google Scholar
(2) Haynes, A. T. & Kirton, R. J. (1952) The Financial Structure of a Life Office. T.F.A. 21, 141.Google Scholar
(3) Wise, A. J. (1984) The Matching of Assets to Liabilities. J.I.A. 111, 445.Google Scholar
(4) Wise, A. J. (1984) A Theoretical Analysis of the Matching of Assets to Liabilities. J.I.A. 111, 375.Google Scholar
(5) Wilkie, A. D. (1985) Portfolio Selection in the Presence of Fixed Liabilities: a Comment on ‘The Matching of Assets to Liabilities’. J.I.A. 112, 229.Google Scholar
(6) Wise, A. J. (1987) Matching and Portfolio Selection: Part 1. J.I.A. 114, 113.Google Scholar
(7) Wise, A. J. (1987) Matching and Portfolio Selection: Part 2. J.I.A. 114, 551.Google Scholar
(8) Redington, F. M. (1952) Review of the Principles of Life Office Valuations. J.I.A. 78, 286.Google Scholar
(9) Occupational Pensions Board (1989) Protecting Pensions: Safeguarding Benefits in a Changing Environment. H.M.S.O., CM573.Google Scholar