Actuaries, pension funds and investment

Document description

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 sounder and more robust approaches to pension fund investment and its monitoring. The first part of the paper considers the matching of assets to liabilities, concentrating 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.