Description: In order for actuaries to play a valuable role in the realm of enterprise risk management ERM, they must provide value-added advice and quantitative analyses. In this paper, the authors use stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan’s solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities.

Description: Panelists at this session of the SOA 1998 Maui II Spring Meeting present methods for scenario generation and establishing stochasitc models for pension plans.