Sensitivity analysis, or so-called 'stress-testing', has long been part of the actuarial contribution to pricing, reserving and management of capital levels in both life and non-life assurance. Recent developments in the area of derivatives pricing have seen the application of adjoint methods to...

This study investigates the actuarial monitoring of closed defined benefit superannuation schemes. This is done via a simulation approach of a model scheme, with economic and decrement factors varying stochastically. The desires of trustees and employer-sponsors are expressed numerically and the...