In recent years, adverse market conditions demolished the funding status of many defined benefit (DB) pension plans highlighting the need for better risk management. We propose a novel framework to decompose the risk of DB pension plans which differs from earlier work in two fundamental ways....

This article investigates the optimal design and management of portfolio insurance for target date funds. Capital protection is often set at 100% at inception for simplicity's sake, but without any clearer rationale. We propose a framework for estimating the optimal level of protection, or...