Pension fund risk management financial and actuarial modeling 1

Preface
INTEGRATED RISK MANAGEMENT
IN PENSION FUNDS
Marco Micocci, Greg N. Gregoriou,
and Giovanni B. Masala
The world of pension funds is facing a period of extreme changes. Countries
around t he w orld ha ve ex perienced u nexpected i ncreases i n l ife ex pectancy and fertility rates, changing accounting rules, contribution reductions, low financial returns, and abnormal volatility of markets. All these
elements have led to a fall in funded systems and to an increase in the
dependency ratios in many countries. U.K. and U.S. pension funds, which
have traditionally had relatively high equity allocations, have been hit
hard. Many public pay-as-you-go (PAYGO) systems in Europe are reducing t heir “ generosity” w ith n ew c alculation r ules po inting t oward t he
reduction of the substitution ratios of workers. Europe is moving toward a
risk-based approach also for the regulation and the control of the technical risk of funded pension schemes.
Risk management is becoming highly complex both in public pension
funds and in private pension plans, requiring the expertise of different specialists who are not frequently disposable in the professional market. The
world is quite rich with skilled investment managers but their comprehension of the demographic and of the actuarial face of pension risk is often
inadequate. On the other hand, you have many specialized actuaries who
are able to perform very sophisticated calculations and forecasts of pension
liabilities but who are not able to fully understand the coexistence (or integration) of financial and actuarial risks. Also, the international accounting
standards i ntroduce new ac tuarial a nd financial elements i n t he ba lance
sheet of the firms that may affect the corporate dividend and its investment
ix

© 2010 by Taylor and Francis Group, LLC


x ◾ Preface

policy. In other words, little is being said about the integration of actuarial
and financial risks in the risk management of pension funds.
We believe t he chapters in t his book highlight and shed new light on

the current state of pension fund risk management and provide the reader
new technical tools to face pension risk from an integrated point of view.
The exclusive new research for t his book can assist pension f und executives, r isk m anagement d epartments, c onsultancy firms, a nd ac ademic
researchers to hopefully get a clearer picture of the integration of risks in
the pension world. The chapters in this book are written by well-known
academics a nd p rofessionals w orldwide wh o ha ve p ublished n umerous
journal articles and book chapters. The book is divided into four parts—
Part I: Financial Risk Management; Part II: Technical Risk Management;
Part I II: Reg ulation a nd S olvency T opics; a nd P art I V: I nternational
Experience in Pension Fund Risk Management.
In P art I , C hapter 1 f ocuses o n t he co rrect m easurement o f r isk i n
pension funds. The author formalizes an intuitive concept of investment
risk i n p roviding f or pens ions, t aking i t a s a m easure o f t he financial
impact when the actual investment experience differs from the expected.
Investment risk can be explicitly measured and, through a series of case
studies, the author estimates the investment risk associated with different investment strategies in different markets over the twentieth century.
He shows t hat w ithin a b road r ange, t he relative i nvestment r isk a ssociated w ith d ifferent st rategies i s n ot pa rticularly sens itive t o h ow t he
pension objective is framed. The investment risk associated with equity
investment can be o f t he same order of magnitude as bond i nvestment
if the bond duration mismatches those of the targeted pension. He suggests that failure to explicitly measure investment risk entails that pension portfolios might not be optimally structured, holding the possibility
that i nvestment r isks co uld be r educed w ithout r educing t he ex pected
pension proceeds.
In Chapter 2 , t he authors scrutinize t he f und dy namics u nder a per formance-oriented a rrangement (i.e., bonus fees a nd downside pena lty),
whereby a st ochastic co ntrol i s f ormulated t o f urther cha racterize t he
defined contribution (DC) pension schemes. A five-fund separation theorem i s der ived to cha racterize its optimal st rategy. W hen per formanceoriented arrangement is taken into account, the fund managers tend to
increase the holdings in risky assets. Hence, an incentive program has to
be carefully implemented in order to balance the risk and the reward in
DC pension fund management.

© 2010 by Taylor and Francis Group, LLC

Preface ◾ xi

Chapter 3 p roposes a n a ttribution m odel f or m onitoring t he per formance a nd t he r isk o f a defined benefit ( DB) pens ion f und. The model
is ba sed on a l iability benchmark t hat reflects t he r isk a nd return cha racteristics of the liabilities. As a result, the attribution model focuses the
attention of the portfolio managers on creating a portfolio that replicates
liabilities. The attribution model a llocates d ifferences i n return between
the actual portfolio and the benchmark portfolio to decisions relative to
the benchmark portfolio. In addition, the model decomposes risks according to the same structure by using a measure of downside risk.
Chapter 4 i nvestigates a n optimal investment problem faced by a DC
pension f und ma nager u nder inflationary risk. It is assumed t hat a r epresentative member of a DC pension plan contributes a fi xed share of his
salary to the pension fund during the time horizon. The pension contributions are invested continuously in a risk-free bond, an index bond, and a
stock. The objective is to maximize the expected utility of terminal value
of the pension fund. By solving this investment problem, the author presents a way to deal with the optimization problem, in case of an (positive)
endowment (or contribution), using the martingale method.
Chapter 5 deals with the study of a pension plan from the point of view
of dy namic o ptimization. This sub ject i s c urrently w idely d iscussed i n
the literature. The optimal management of an aggregated type of DB pension fund, which is common in the employment system, is analyzed by a
mean–variance portfolio selection problem. The main novelty is that the
risk-free ma rket interest rate is a t ime-dependent f unction a nd t he benefits are stochastic.
In C hapter 6 , t he a uthor h ighlights t he fac t t hat a pens ion f und i s a
complex system. Asset a nd liability ma nagement (ALM) models of pension f und p roblems i ncorporate, a mong o thers, st ochasticity, l iquidity
control, population dynamics, and decision delays to better forecast and
foresee solvency i n t he long ter m. I n order to model u ncertainties or to
enable multicriteria analyses, many methods are considered and analyzed
to obtain a dynamic asset and liability management approach.
In Chapter 7, the authors investigate the optimal asset allocation of U.S.
pension f unds b y t aking i nto acco unt t he f unds’ l iabilities. B esides t he
traditional i nputs, such a s ex pected r eturns a nd t he covariance ma trix,

the uncertainty of expected returns plays a crucial role in creating robust
portfolios t hat a re less sensitive to small cha nges i n i nputs. The authors
illustrate this with an example of a pension fund that decides on investing
in emerging market equities.

© 2010 by Taylor and Francis Group, LLC


xii ◾ Preface

Chapter 8 explains that most pension funds already manage the different risks they face, but usually from a “single stakeholder” pension fund
perspective, typically expressed in, e.g., the risk of funding shortfall. The
many d ifferent st akeholders i n pens ion f unds, such a s t he em ployees,
retirees, and sponsors, all bear different risks, but there is often hardly any
insight i n t he objective ma rket va lue of t hese r isks. In add ition, t here is
usually no explicit compensation agreement for those who bear the risks.
Therefore, a tech nique that identifies and values these stakeholders’ risks
has many useful applications in pension fund management.
Chapter 9 focuses on value-at-risk (VaR). VaR has become a popular risk
measure of financial risk and is a lso used for regulatory capital requirement purposes in banking and insurance sectors. The VaR methodology
has be en de veloped ma inly f or ba nks t o co ntrol t heir sh ort-term ma rket risk. A lthough, VaR is a lready w idespread in financial industry, t his
method has yet to become a standard tool for pension funds. However, just
as any other financial institution, pension funds recognize the importance
of m easuring t heir financial r isks. The a im o f t his cha pter i s t o spec ify
conditions u nder wh ich V aR co uld be a g ood m easure o f l ong-term
market risk.
Chapter 10 examines the effects of taxation, risk sharing between t he
employer and employees, and default insurance on the asset allocation of
DB pension schemes. These three factors can have a powerful effect on the
optimal asset allocation of a fund. The authors show that the three factors

have the potential to create conflict between the employer and the employees, particularly when the employer is not subject to taxation.
In Part II, Chapter 11 is devoted to examining how uncertainty regarding f uture m ortality a nd l ife ex pectancy o utcomes, i .e., l ongevity r isk,
affects employer-provided DB private pension plan liabilities. The author
argues t hat to a ssess u ncertainty a nd a ssociated r isks adequately, a st ochastic a pproach t o m odel m ortality a nd l ife ex pectancy i s p referable
because it allows one to attach probabilities to different forecasts. In this
regard, t he cha pter p rovides t he r esults o f e stimating t he L ee–Carter
model f or se veral OECD co untries. F urthermore, i t co nveys t he u ncertainty su rrounding f uture m ortality a nd l ife ex pectancy o utcomes b y
means o f M onte-Carlo s imulations o f t he L ee–Carter m odel. I n o rder
to assess the impact of longevity risk on employer-provided DB pension
plans, the author examines the different approaches that private pension
plans f ollow i n p ractice wh en i ncorporating l ongevity r isks i n t heir
actuarial calculations.

© 2010 by Taylor and Francis Group, LLC


Preface ◾ xiii

Chapter 12 analyzes the pension plan of a firm that offers wa ge-based
lump sum payments by death, retirement, or dismissal by the employer, but
no payment is made by the employer when the employee resigns. An actuarial risk model for funding severance payment liabilities is formulated and
studied. The yearly aggregate lump sum payments are supposed to follow a
classical collective model of risk theory with compound distributions. The
final wealth at an arbitrary time is described explicitly including formulas
for the mean and the variance. Annual initial level premiums required for
“dismissal f unding” a re de termined a nd u seful g amma approximations
for confidence intervals of the wealth are proposed. A specific numerical
example illustrates the non-negligible probability of a bankruptcy in case
the employee structure of a “dismissal plan” is not well balanced.
Chapter 13 starts from the fact that retirement is being remade owing to

the confluence of demographic, economic, and policy factors. The authors
empirically i nvestigate ma jor i nfluences on t he re tirement b ehavior of
older U.S. workers f rom 1992 t hrough 2 004 u sing su rvey d ata f rom t he
Health and Retirement Study. Their analysis builds on the large empirical
literature on retirement, in particular, by examining how market booms
and busts affect the likelihood and timing of retirement, an issue that will
be o f g rowing i mportance g iven t he o ngoing sh ift f rom t raditional D B
pensions t o 4 01(k)s. They co mprehensively m odel a ll ma jor so urces o f
health i nsurance co verage a nd i dentify t heir va rying i mpacts, a nd a lso
reveal t he significant policy-driven retirement differences across cohorts
that are attributable to the changes in social security full-retirement age.
These f undamental r etirement cha nges n eed t o be t aken i nto acco unt
when we design corporate and public retirement programs.
Chapter 14 deals w ith a st udy on occ upational pension i nsurance for
Germany—a country where Pillar II pension schemes are (still) widely based
on a book reserve system. The insurance of occupational pension schemes
is prov ided for by t he P ensions-Sicherungs-Verein Versicherungsverein
auf Gegenseitigkeit (PSVaG), which is the German counterpart to the U.S.
PBGC. This study investigates potential adverse selection and moral hazard problems originating from the introduction of reduced premiums for
funded pens ions a nd a ssesses whether t he r isk-adjusted r isk premiums,
as i ntroduced b y t he U.K. Pension Pr otection F und, c an be a m eans t o
mitigate these problems.
Chapter 1 5 de scribes t he l ongevity r isk sec uritization i n pens ion
schemes, f ocusing ma inly o n l ongevity bo nds a nd su rvivor s waps. The
authors analyze the evaluation of these mortality-linked securities in an

© 2010 by Taylor and Francis Group, LLC


xiv ◾ Preface

incomplete market using a risk-neutral pricing approach. A Poisson Lee–
Carter model is adopted to represent the mortality trend. The chapter concludes with an empirical application on Italian annuity market data.
In Part III, Chapter 16 h ighlights t hat t he i nternational t rend toward
adopting a “ fair va lue” a pproach t o pens ion acco unting ha s t ranspired
the r isks i nvolved i n promises of DB pensions. The hunt i s on for ways
to remove or l imit t he employers’ r isk ex posures to financial statements
volatility. This chapter examines the U.K. firms’ risk management of their
pension f und a sset a llocation over a per iod when t he new U.K. pension
GAAP (FRS 17) became effective. The findings suggest that firms manage
their pension risk exposure in order to minimize cash contribution risks
associated w ith t he ad option o f “ fair va lue”–based pens ion acco unting
rules, consistent with a risk offsetting explanation.
Chapter 17 develops and tests a theory of competition among pressure
groups over political influence in the context of conflicting U.K. standards
concerning the factors affecting the recent development of pension fund
accountability rules. The chapter models both sources of pressure affecting the accountability relationship as well as how those factors combined
to i nfluence U.K. pens ion f und ma nagers’ d iscretion o ver t he ad option
and retention of disclosure regulations. The author finds that auditors and
pension management groups exerted most political pressure, which translated to political influence during the extended adoption period. The findings are mostly consistent with a capture or private interest perspective on
pension accounting regulation.
Chapter 18 r eviews t hree u seful i nstruments—notional defined-contribution acco unts (N DCs), t he ac tuarial ba lance ( AB), a nd a utomatic
balance mechanisms (ABMs)—derived from actuarial analysis methodology that can be applied to the public management of PAYGO systems to
improve t heir fa irness, t ransparency, a nd so lvency. The a uthors su ggest
that these tools are not simply theoretical concepts but, in some countries,
an already legislated response to the growing social demand for transparency in the area of public finance management as well as the desire to set
the pension system firmly on the road to long-term financial solvency.
In C hapter 19, t he authors review t he r isk-based solvency regime for
pension funds in the Netherlands. The supervision of pension funds aims
to ensure that institutions are always able to meet their commitments

to t he beneficiaries. I n add ition, t he pension f und must be l egally separated from the employer offering the pension arrangement. Furthermore,
the ma rked-to-market va lue o f t he a ssets m ust be a t l east eq ual t o t he

© 2010 by Taylor and Francis Group, LLC


Preface ◾ xv

marked-to-market value of the liabilities at all times (full funding prerequisite). Risk-based solvency requirements are intended as a buffer to absorb
the r isks f rom u nexpected cha nges i n t he va lue of a ssets a nd l iabilities.
Finally, a ke y element of the Dutch regulatory approach is the continuity
analysis for assessing the pension fund’s solvency in the long run.
In Chapter 20, the author addresses the fact that the global financial crisis of 2008 highlighted the importance of shielding pension participants
from market volatility. This policy concern is of general relevance due to
the global shift from DB to DC as main mechanisms for financing retirement income. Policy options being debated in the aftermath of the crisis
include, but are not necessarily limited to, the following: (1) the introduction o f l ifetime m inimum r eturn g uarantees, ( 2) t he r eview o f defa ult
investment options, and (3) the outright reversal to PAYGO earning–related pensions. This chapter reviews the performance during the crisis of
countries that a lready rely on mandatory DC plans. The author suggests
that important welfare gains can be ach ieved by requiring the introduction of liability-driven default i nvestment products based on a m odified
version of the target date funds commonly available in the retail industry
for retirement wealth. Such products would reconnect the accumulation
with the decumulation phase, improve the hedging of annuitization risk,
but avoid the introduction of liabilities for plan managers.
In P art I V, C hapter 2 1 h ighlights t he D B pens ion f reezes i n la rge
healthy firms such as Verizon and IBM, as well as terminations of plans in
the struggling steel and airline industries that cannot be v iewed as riskfree from t he employee’s perspective. The a uthors de velop a n em pirical
dynamic programming framework to investigate household saving decisions in a simple life cycle model with DB pensions subject to the risk of
being f rozen. The model i ncorporates i mportant sources of u ncertainty
facing households, including asset returns, employment, wages, and mortality, as well as pension freezes.
Chapter 22 is referred to as the Italian experience. In Italy, social security contributions of Italian employees finance a two-pillar system: public

and p rivate pens ions t hat a re bo th c alculated i n a DC sch eme (funded
for the private pension and unfunded for the public one). In addition to
this, a la rge number of workers have also termination indemnities at the
end of their active service. The authors aim to answer the following questions. A re t he d ifferent flows o f contributions co herent w ith t he a im o f
minimizing the pension risk of the workers? Given the actual percentages
of contributions, is the asset allocation of private pension funds optimal?

© 2010 by Taylor and Francis Group, LLC


xvi ◾ Preface

What per centages w ould o ptimize t he pens ion r isk ma nagement o f t he
workers ( considering pu blic p ension, pr ivate p ension, a nd t ermination
indemnities)?
Chapter 24 examines the Greek experience in limiting the opportunity
of investments of pension funds in foreign assets. In fact, suffering from
inefficient funding, the current imbalance of the Greek social security system, to some extent, was the result of the restrictive investment constraints
in the period 1958–2000 that directed reserves to low-yielding deposits
with the Bank of Greece with little or no exposure to market yields or the
stock market. As shown in the 43 year analysis, these investment restrictions i ncurred a s ignificant economic opportunity loss both in terms of
inferior returns as well as lower risks.
Chapter 25 examines the effect of a company’s unfunded pension liabilities on its stock market valuation. Using a sample of UK FTSE350 firms
with DB pension schemes, the authors find that although unfunded pension liabilities reduce the market value of the firm, the coefficient estimates
indicate a less t han one-for-one effect. Moreover, there is no evidence of
significantly negative subsequent abnormal returns for highly underfunded schemes. These results suggest that shareholders do take into consideration the unfunded pension liabilities when valuing the firm, but do
not fully incorporate all available information.
Chapter 26 f ocuses on t he sel ection o f a n a ppropriate st yle m odel t o
explain t he returns of Spanish ba lanced pension plans as well as on t he
analysis of the relevance of these strategic allocations on portfolio performance. Results suggest similar findings than those obtained in previous

studies, providing e vidence t hat a sset a llocations ex plains about 9 0% of
portfolio r eturns o ver t ime, m ore t han 4 0% o f t he va riation o f r eturns
among plans, and about 100% of total returns.
MATLAB® i s a r egistered t rademark o f The M athworks, In c. F or p roduct
information, please contact:
The Mathworks, Inc.
3 Apple Hill Drive
Natick, MA 01760-2098 USA
Tel: 508-647-7000
Fax: 508-647-7001
E-mail:
Web: www.mathworks.com

© 2010 by Taylor and Francis Group, LLC


Editors
Marco Micocci is a f ull professor of financial mathematics and actuarial
science in the Faculty of Economics, University of Cagliari, Italy. He has
received deg rees i n eco nomics, ac tuarial st atistics, a nd t he finance of
financial i nstitutions. H is r esearch i nterests i nclude financial a nd ac tuarial risk management of pension funds and insurance companies, enterprise risk management, and operational and reputational risk va luation.
He has published nearly 90 books, chapters of books, journal articles, and
papers. He also works as a consultant actuary.
Greg N. Gregoriou has published 34 books, over 50 refereed publications
in peer-reviewed journals, and 22 book chapters since his arrival at SUNY
(Plattsburgh, New York) in August 2003. Professor Gregoriou’s books have
been published by John Wiley & Sons, McGraw-Hill, Elsevier Butterworth/
Heinemann, T aylor & F rancis/Chapman-Hall/CRC P ress, P algraveMacMillan, a nd R isk/Euromoney boo ks. H is a rticles ha ve a ppeared i n
the Journal o f P ortfolio M anagement, t he Journal o f F utures M arkets,
the European Journal of O perational Re search, t he Annals of O perations

Research, and C omputers and O perations Re search. Professor Gregoriou
is a coed itor a nd ed itorial boa rd m ember f or t he Journal o f D erivatives
and Hedge Funds, a s well a s a n ed itorial boa rd member for t he Journal
of W ealth Man agement, t he Journal o f Ri sk M anagement i n F inancial
Institutions, and the Brazilian Business Review. A na tive of Montreal, he
received his joint PhD at the University of Quebec at Montreal, Quebec,
Canada, in finance, which merges the resources of Montreal’s major universities (McGill University, Concordia University, and École des Hautes
Études C ommerciales, M ontreal). H is i nterests f ocus o n h edge f unds,
funds of hedge funds, and managed futures. He is also a m ember of the
Curriculum Committee of the Chartered Alternative Investment Analyst
Association.
xvii

© 2010 by Taylor and Francis Group, LLC


xviii ◾ Editors

Giovanni B. Ma sala is a r esearcher i n mathematical methods for economy and finance at the Faculty of Economics, University of Cagliari, Italy.
He re ceived h is PhD i n pu re m athematics (differential geometry) at t he
University o f M ulhouse, F rance. H is c urrent r esearch i nterest i ncludes
mathematical risk modeling for financial a nd ac tuarial applications. He
attended n umerous i nternational c ongresses to le arn more a bout t hese
topics. His results have been published in refereed national and international journals.

© 2010 by Taylor and Francis Group, LLC


Contributor Bios
Laura Andreu is a junior lecturer in finance at the Faculty of Economics

and Business Studies, University of Zaragoza, Spain, where she received
her degree in business administration and was awarded the Social Science
Award for Graduate Students. She is currently working on her PhD on the
subject of Spanish pension funds. She has published some papers both in
national and international journals and her research interests are focused
on portfolio management.
Pablo Antolin is a principal economist at the Private Pension Unit of the
OECD Financial Affairs Division. He is currently managing three projects:
(1) a project on annuities and the payout phase, (2) a project on the impact
of longevity risk a nd other risks (e.g., investment, inflation, a nd i nterest
rate) on retirement income and annuity products, and (3) a j oint project
with t he W orld Ba nk, W ashington, Di strict o f C olumbia, o n co mparing
the financial per formance of private pens ion f unds ac ross countries. I n
the past, he has worked on the impact of aging populations on the economy and on public finances. He has produced several studies examining
options available to reform pension systems in several OECD countries.
Previously, he worked at the IMF and at the OECD Economic Department.
He has published journal articles on aging issues as well as on labor market issues. Antolín has a PhD in economics from the University of Oxford,
United K ingdom, a nd a n u ndergraduate deg ree i n eco nomics f rom t he
University of Alicante, Spain.
María del C armen Boad o-Penas h olds a P hD i n eco nomics ( Doctor
Europeus) from the University of Valencia, Spain, and a degree in actuarial sciences from the University of the Basque Country, Spain. She has also
published three articles on public pension systems in prestigious international reviews. She has cooperated on various projects related to pension
xix

© 2010 by Taylor and Francis Group, LLC


xx ◾ Contributor Bios

systems at the Swedish Social Insurance Agency in Stockholm and at the

Spanish Ministry of Labour and Immigration.
Dirk B roeders i s a sen ior eco nomist a t t he su pervisory po licy d ivision
within De N ederlandsche Ba nk. H e i s i nvolved i n t he de velopment o f
the financial assessment framework, a r isk-based supervisory toolkit for
testing solvency requirements for pension funds. Previous to joining the
superisory policy division, he was the head of research and strategy at a
Dutch asset manager and was responsible for strategic and tactical asset
allocation dec isions. Di rk i s o ne o f t he ed itors o f t he boo k Frontiers in
Pension Finance, Edward Elgar Publishing, Gloucestershire, U.K., 2008.
Giuseppina Cannas is a PhD student at the University of Cagliari, Italy.
She graduated with honors from the University of Cagliari with a t hesis
about t he a nalysis o f per formance a ttribution. C urrently, Gi useppina’s
prime research interests include risk management in pension funds.
Ricardo Ma tos C haim r eceived h is P hD i n i nformation sc ience a t t he
University o f B rasilia, B rasil. C urrently, h e i s w orking as a n as sociate
professor a t t he so ftware eng ineering de partment o f t he U niversity o f
Brasilia. Professor Chaim worked for 19 years at a Brasilian governmental
social i nsurance company. H is c urrent sc ientific i nterests i nclude i nformation management, risk management, information technologies applied
to insurance, and methods to model uncertainty and imprecision in pension funds.
Bill S hih-Chieh C hang i s a co mmissioner of t he Financial Supervisory
Commission (FSC) of Taiwan, Republic of China. He is the chairman
in t he I nsurance A nti-fraud I nstitute of t he Republic of China a nd a lso
serves on the board of directors in the Taiwan Insurance Institute. Prior
to joining FSC in July 2006 as a commissioner, he served as an EMBA program director at the College of Commerce, National Chengchi University,
Taipei, Republic of China, from 2005 to 2006. From 1999 to 2005,
Dr. Chang served as a chairperson of the Department of Risk Management
and I nsurance, C ollege o f C ommerce, N ational C hengchi U niversity,
Taiwan, Rep ublic o f C hina. Dr. C hang r eceived h is B S i n ma thematics
from National Taiwan University, Taiwan, Republic of China, and a doctorate in statistics from the University of Wisconsin–Madison, Wisconsin.
He was a lso a r esearch scientist of t he Bureau of Research, Depa rtment

© 2010 by Taylor and Francis Group, LLC


Contributor Bios ◾ xxi

of N atural Re sources, St ate o f Wi sconsin, Mad ison, Wi sconsin, f rom
1993 to 1994, a nd a v isiting lecturer of t he Depa rtment of Mathematics
and Statistics, University of Otago, Dunedin, New Zealand, in 1994. His
research interests are in insurance theory and actuarial science, pension
management, finance mathematics, and risk management.
Marcin Fedor is an assistant professor at Warsaw School of Economics.
He i s a lso a ch ief r isk o fficer a t A XA P oland. H e g raduated f rom t he
National School of Insurance in Paris, Cracov University of Economics,
and Dauphine University in Paris. He also holds a PhD in economics from
Paris-Dauphine University. In his dissertation, he investigated the nature
and the objectives of investment prudential regulations, and their role in
long-term asset allocation. He also worked in the financial division of the
second-largest life insurance company in France and actively contributed
to activities of the European Think Tank “Confrontations Europe,” which,
in cooperation with the European Commission, was involved in preparing
the Solvency II Directive. Finally, Marcin was invited to Harvard University
(as a visiting researcher) where he worked on financial regulations.
Wilma de Groo t, CFA, is a senior researcher at Robeco’s Quantitative
Strategies Depa rtment i n R otterdam a nd a g uest l ecturer a t Er asmus
University Rotterdam, t he Netherlands. She received her MSc i n econometrics from Tilburg University, the Netherlands.
Werner Hürlimann has st udied mathematics and physics at Eidgenössische Technische H ochschule Z ürich (ETHZ), w here he r eceived his
PhD in 1980 wi th a t hesis in alg ebra. After p ostdoctoral fellowships at
Yale University and at the Max Planck Institute in B onn, he b ecame an
actuary at Winterthur Life and Pensions in 1984. He worked as a s enior

actuary for Aon Re and International Risk Management Group (IRMG)
Switzerland 2003–2006 a nd is c urrently employed as a b usiness exp ert
at FRSGlobal in Z urich. He was visi ting associate professor in ac tuarial
science at t he University of Toronto, Ontario, C anada, during t he academic year 1988–1989. He has written more than 100 papers, published
in refereed journals, or presented at international colloquia. His current
interests in actuarial science and finance encompass theory and applications in r isk management, p ortfolio management, immunization, pricing p rinciples, o rdering o f r isks, a nd co mputational st atistics a nd da ta
analysis.

© 2010 by Taylor and Francis Group, LLC


xxii ◾ Contributor Bios

Evan Ya-Wen Hwang is an assistant professor in t he Department of Risk
Management and Insurance, Feng Chia University. She obtained a doctorate
in risk management and insurance from the National Chengchi University
in Taiwan. Her thesis focuses on the topics in continuous time finance and
actuarial s cience. C urrently she is w orking o n d ynamic ass et allo cation
problems for long-term investors. Her research papers have been presented
in several international conferences, which include the annual conference
of Asia Pacific Risk and Insurance Association in Korea, Japan, and Taiwan,
as well as the 11th International Congress on Insurance: Mathematics and
Economics in Athens.
Gregorio Impavido is a senior financial sector expert in the monetary
and capital markets department of the IMF in Washington, District of
Columbia. He delivers policy advice on pension reform and the regulation and the supervision of private pensions including market stability
and developmental issues. Prior to joining the IMF in 2007, he worked
for nine years at the World Bank, Washington, District of Columbia. He
has written for the World Bank, European Investment Bank (EIB), and
European Bank for Reconstruction and Development (EBRD). His writings have been published in refereed journals and books on policy issues

related to the development of private pension and insurance markets in
developing countries. He received his PhD and MSc in economics from
Warwick U niversity, C oventry, U nited K ingdom, a nd h is B Sc i n eco nomics from Bocconi University, Milan, Italy.
Ricardo Josa Fombellida was born in Palencia, Spain. He received his
MS i n mathematics a nd h is PhD i n st atistics a nd operations research,
both from the University of Valladolid, Spain. He is a profesor contratado d octor (tenured pos ition) i n t he Depa rtment o f S tatistics a nd
Operations Research at the University of Valladolid. His main research
areas i nclude st ochastic dy namic o ptimization a nd a pplications i n
pension f unds a nd eco nomics. H e ha s p ublished pa pers i n sc ientific
journals suc h a s Insurance: M athematics and E conomics, t he Journal
of O ptimization Theory a nd A pplications, Computers and O perations
Research, a nd t he E uropean J ournal o f O perational Re search. H e ha s
participated i n n umerous c ongresses on m athematical finance, statistics, a nd o perations r esearch. H is r esearch i s f unded b y t he M inistry
of E ducation a nd S cience o f S pain, a nd t he Reg ional G overnment o f
Castilla y León.

© 2010 by Taylor and Francis Group, LLC


Contributor Bios ◾ xxiii

Paul John Marcel Klumpes, BC om ( hons), MCom ( hons), L LB ( hons),
PhD, H on ( FIA), CP A, i s a p rofessor o f acco unting a t t he I mperial
College Business School, Imperial College London, United Kingdom. His
research interests cover the interrelationship of public policy and voluntary reporting, regulation, financial ma nagement, a nd control of financial services, particularly related to pensions and life insurance. This
growing personal interest has been associated with a g rowing political,
economic, and social awareness of the importance of pensions and financial services by government and public policy making institutions. He
has produced 65 publications, ha lf of which are in published academic
journals. Contributions have been to both practice the discipline and to
learning and pedagogy.

Theo Kocken i s t he f ounder a nd t he CEO o f C ardano. H e g raduated i n bu siness a dministration (E indhoven), e conometrics ( Tilburg),
and r eceived h is P hD a t V U U niversity, A msterdam, t he N etherlands.
From 1990 onward, he headed t he ma rket risk depa rtments at ING a nd
Rabobank International. In 2000, he started Cardano. As a market leader,
Cardano supports end users such a s pension f unds a nd i nsurance companies a round E urope w ith st rategic der ivative so lutions a nd po rtfolio
optimization. Cardano, now having well over 70 employees, has offices in
Rotterdam and London.
Theo is the (co)author of various books and articles in the area of risk
management. In 2006, he wrote Curious Contracts: Pension Fund Redesign
for the Future, in which he applied embedded option theories as a basis for
pension fund risk management and redesign.
Anne de Kreuk holds a deg ree in applied mathematics from Eindhoven
University of Technology, the Netherlands. In 2005, she started as a portfolio ma nager i n L DI a nd fiduciary ma nagement a t A BN A MRO A sset
Management, wh ere sh e ha s be en i nvolved i n de veloping a nd ma naging i nstitutional cl ient so lutions t hat i nvolved st rategic a sset a llocation,
derivatives overlay, and manager selection input. In mid-2008, she joined
Cardano as a risk management consultant.
Susanna Levantesi is a researcher in mathematical methods for economy
and finance at La Sapienza-University of Rome. She has been an adjunct
professor of actuarial models for health insurance and life insurance techniques at the University of Sannio, Beveneto, Italy, since 2004. She received

© 2010 by Taylor and Francis Group, LLC


xxiv ◾ Contributor Bios

her PhD in actuarial science at La Sapienza-University of Rome in 2004.
She currently works as an actuary. Her main research interests are health
and life insurance.
Yong L i ha s a P hD i n accounting (Warwick Business School, C oventry,
United K ingdom) a nd a n MS c w ith d istinction i n ba nking a nd finance

(University of Stirling, Scotland, United Kingdom). She was a research fellow at Warwick Business School (2001–2004) and an academic visitor in
the accounting department at the London School of Economics from May
to July in 2008. Yong is currently a lecturer in accounting at the University
of Stirling, United Kingdom (2004 to date).
Weixi Liu is a PhD student in the Xfi Centre for Finance and Investment
at the University of Exeter, England. His research interest is in pension
economics, especially the funding and the asset allocation of occupational
pensions. H is t hesis ex amines t he va luation effects o f d efined benefit
pension schemes in the United Kingdom under the most recent pension
accounting standards and regulations. Weixi also has teaching experience
in fi xed income and derivative pricing.
David A. Love is an assistant professor of economics at Williams College,
London, United Kingdom. He previously worked as an economist at
the F ederal Re serve B oard (2005–2006) a nd v isited C olumbia B usiness
School, N ew York (2007–2008). H e r eceived h is B A i n eco nomics f rom
the University of Michigan, Ann Arbor, Michigan, in 1996 and his PhD
in eco nomics f rom Yale U niversity, N ew Ha ven, C onnecticut, i n 2 003.
His research interests include macroeconomics, public finance, household
portfolio choice, and private pensions.
Ferdinand Ma ger i s a p rofessor a t t he E uropean B usiness S chool i n
Oestrich-Winkel, Germany. He previously worked at the Queensland
University of Technology, School of Economics and Finance, in Brisbane,
Australia, a nd a t E rlangen-Nuremberg U niversity, E rlangen, G ermany,
where he also received his doctoral degree. His research focuses on empirical finance.
Stuart Manson is a professor of accounting at Essex Business School at
the University of Essex, Colchester, United Kingdom, where he is also
a de an o f t he F aculty o f L aw a nd Ma nagement. H is p resent r esearch

© 2010 by Taylor and Francis Group, LLC

Contributor Bios ◾ xxv

interests a re i n t he a reas o f pens ions r eporting a nd t he r egulation o f
auditing. H e i s a q ualified cha rtered acco untant a nd i s a m ember o f
the Institute of Chartered Accountants of Scotland, Edinburgh, United
Kingdom.
Carmen-Pilar Martí-Ballester, PhD, is a graduate in business administration a nd a P hD i n fi nancial economics at t he Universitat Jaume I,
Castellon de la P lana, S pain. Sh e i s c urrently a v isiting p rofessor o f
accounting in the Department of Business Economics at the Universitat
Autònoma de Barcelona, Spain. Prior to this, she worked as a research
assistant o f fi nance a t t he U niversitat J aume I. Sh e wa s a v isiting
researcher a t t he U niversidad P ública de N avarra, P amplona, S pain,
and Universitat Autònoma de Ba rcelona. She has published in various
journals, including Applied Economics, the Spanish Journal of Finance
and A ccounting, a nd Pensions, a mong o thers. H er r esearch i nterests
include efficiency, i nvestor behavior, pension f unds per formance, a nd
education. S he ha s p articipated i n p rojects o n fi nancial eco nomics
and i nvestment a nalysis t hat h ave re ceived gove rnment c ompetitive
research grants.
Massimiliano M enzietti i s a p rofessor o f pens ion ma thematics i n t he
Faculty of Economics at the University of Calabria, Cosenza, Italy. From
2002 to 2006 he was a researcher in mathematical methods for economy
and finance in the Department of Actuarial and Financial Science at the
Sapienza University o f R ome, f rom wh ere h e r eceived h is PhD i n ac tuarial science. His research has focused on actuarial mathematics of pension schemes, financial mathematics (specifically on actuarial model for
credit risk), and automobile car insurance. He is now working on actuarial
mathematics a nd r isk ma nagement of long-term c are i nsurance a nd on
longevity risk securitization.
Nikolaos T . M ilonas i s a p rofessor o f finance i n t he Depa rtment
of E conomics, U niversity of At hens, G reece. He re ceived h is M BA

from Ba ruch C ollege, N ew Y ork Ci ty, h is P hD i n finance from
the Ci ty U niversity o f N ew Y ork. H e ha s t aught a t t he U niversity
of Massachusetts at Amherst, at Baruch College, and at ALBA.
His r esearch w ork f ocuses o n i ssues i n c apital, der ivatives, a nd en ergy
markets w ith a spec ial em phasis i n t he a rea o f i nstitutional i nvesting. Many of his articles have been published in prestigious academic

© 2010 by Taylor and Francis Group, LLC


xxvi ◾ Contributor Bios

journals including the Journal of Finance. In his professional career, he
has worked as an investment director and as a consultant to several institutional investors and security firms. He currently serves as a board member i n t he H ellenic E xchanges S .A., A thens, Gr eece, a nd p resides o ver
the I nvestment C ommittee o f t he M utual F und C ompany f or P ension
Organisations.
Cristina Ortiz is a junior lecturer in fi nance at the Faculty of Economics
and Business Studies, University of Zaragoza, Spain. In 2007, she
received her PhD in fi nance in the context of the European doctorate.
She was awarded t he Social Science Award for Graduate Students a nd
has some national and international publications to her credit. She has
also pa rticipated i n na tional a nd i nternational co nferences o n beha vioral finance.
Gaobo P ang, P hD, i s a sen ior eco nomist a t Watson W yatt Worldwide,
Arlington, Virginia. His research interests include social security, pension
finance a nd i nvestment, l ife c ycle a nnuity–equity–bond o ptimizations,
and tax-favored savings. Prior to joining Watson Wyatt, Dr. Pang worked
at World Bank, Washington, District of Columbia, conducting macroeconomic research on sovereign debt sustainability, growth, and efficiency of
public spending.
George A . P apachristou i s a n a ssociate p rofessor o f financial economics in the Department of Economics, Aristotle University of Thessa loniki,
Greece. H e r eceived h is MS c a nd P hD f rom t he U niversity o f P aris I ,
France. Besides pension i nvestment issues he ha s a lso published i n topics such a s I POs, st ock ma rket efficiency, lot tery m arket e fficiency, and

venture capital finance. His research has appeared in reviews such as the
Journal of Banking and Finance, Pension Economics and Finance, Applied
Economics, Applied Economics Letters, and others.
Auke Plantinga is a n a ssociate professor of finance at t he University of
Groningen, the Netherlands. He is involved in research and teaching in
the field of finance and, in particular, portfolio management. His research
is focused on the performance measurement issue of investment portfolios, and the impact of liabilities on these methods. His research interest
includes studying the behavior of participants in financial markets, both
private individuals as well as institutions.

© 2010 by Taylor and Francis Group, LLC


Contributor Bios ◾ xxvii

Diego Prior-Jiménez, PhD, is a f ull professor in t he business economics
department a t t he U niversidad A utónoma de B arcelona, S pain. H e is a
member of the editorial committees of several academic jo urnals related
with acco unting co ntrol a nd financial a nalysis. H is r esearch in terests,
published in in ternational journals, are t he efficiency analysis of organizations and firms’ financial analysis. In the field of efficiency analysis, his
research is o riented toward t he design o f mo dels to ass ess t he efficiency
of o rganizations a nd t o design p rograms t o im prove t heir p erformance.
Recent a pplications a re f ocused o n p ublic s ector o rganizations (he alth
care, municipalities, ed ucation, a nd st ate-owned firms) a nd als o o n p rivate firms f rom t he ener gy, ma nufacturing, a nd financial s ectors. In t he
field of financial analysis, his research is oriented toward the comparative
benchmark of European firms in a n environment of global competition.
The analysis includes firms’ financial position, cost efficiency, and the process of value and free cash flow generation.
Marc Pröpper works as a sen ior policy advisor in the quantitative risk
department of De N ederlandsche Ba nk, A msterdam, t he Netherlands,
the integrated prudential supervisor and central bank of the Netherlands.

Areas of his work include the financial assessment framework for pension
funds a nd t he f uture solvency a nd supervisory st andard for i nsurance
companies, S olvency I I. These n ew so lvency st andards r eflect a b road
development toward risk-based supervision and quantitative approaches
by the adoption of market valuation, risk-sensitive solvency requirements, and internal modeling. He is also active in the field o f st ress
testing for ba nks a nd a m ember of t he Ba sel I I R isk Ma nagement a nd
Modelling Group. Marc has graduated as a physicist from the University
of U trecht, t he N etherlands, a nd added t wo y ears o f eco nomy a t t he
Erasmus University of Rotterdam, t he Netherlands. Following t his, he
worked for several years at the combined bank and insurance company,
Fortis, i n t he t reasury, t he i nsurance a sset a nd l iability ma nagement
(ALM) department, and in central risk management. He regularly publishes articles on insurance and pensions.
Theodore A . R oupas is a director at the Ministry of Employment and
a l ecturer (nontenured) i n t he Depa rtment o f B usiness Administration,
University o f P atras, Gr eece. H e h olds a ma ster’s deg ree f rom D urham
University, United K ingdom, a nd a P hD f rom t he University of Athens,
Greece. H is c urrent r esearch f ocuses o n i ssues o f h ealth a nd pens ion

© 2010 by Taylor and Francis Group, LLC


xxviii ◾ Contributor Bios

economics. H is a rticles ha ve be en p ublished i n t he Journal o f P ension
Finance and Economics and the European Research Journal.
José Luis Sarto is a senior lecturer in finance at the Faculty of Economics
and Business Studies, University of Z aragoza, Spain, where he obtained
his PhD in 1995. He has published a la rge number of papers in national
and international journals such as Omega, Applied Economic Letters, and
Applied F inancial E conomics. H is r esearch i nterests i nclude beha vioral

finance a nd per formance pers istence i n t he context of collective i nvestment funds.
Christian Schmieder is a sen ior credit specialist a nd heads t he Ba sel II
implementation at the European Investment Bank (EIB), Luxembourg,
Belgium. Pr ior to joining t he EI B, he worked for Deutsche Bundesbank
and DaimlerChrysler AG. He has also represented Deutsche Bundesbank
in working groups of the Basel Committee on Banking Supervision and
has published various articles on banking and finance.
Ole S ettergren i s t he h ead sec retary o f t he g overnment co mmission
charged w ith se tting up a u nified Swedish Pension Agency. He wa s t he
director o f t he pens ions depa rtment a t t he S wedish S ocial I nsurance
Agency 2004–2008. As an insurance expert at the Ministry of Health and
Social A ffairs (1995–2000), h e p roposed t he a utomatic ba lance m ethod
of securing the financial stability of the new Swedish pension system. He
developed the accounting principles that have been used since 2001 in the
Annual Repo rt o f t he S wedish Pension S ystem a nd wa s i ts ed itor f rom
2001 to 2007.
Paul A . Sm ith i s a sen ior eco nomist i n t he Re search a nd S tatistics
Division o f t he F ederal Re serve B oard o f G overnors. H e p reviously
worked as a financial economist in the Office of Tax Policy at the Treasury
Department. H e r eceived h is B A i n eco nomics f rom t he U niversity o f
Vermont, Burlington, Vermont, in 1991 and his PhD in economics from
the University of Wisconsin, Madison, Wisconsin, in 1997. His research
interests include household saving and wealth, pensions, and retirement
economics.
Charles Sutcliffe is a p rofessor of finance at the ICMA Centre, Reading,
United Kingdom. From 2001 to 2007, he was a director of USS Ltd.,

© 2010 by Taylor and Francis Group, LLC

Contributor Bios ◾ xxix

Northamptonshire, E ngland, wh ich i s t he seco nd-largest U .K. pens ion
fund. Pr eviously, h e wa s a p rofessor o f finance a nd acco unting a t t he
University of Southampton, England, and the Northern Society professor
of accounting and finance at the University of Newcastle, United Kingdom.
In 1995–1996 a nd 2 003–2004 he wa s a v isiting professor at t he L ondon
School of Economics, United Kingdom. He has published in a wide range
of refereed journals and is also the author of nine books. He has acted
as a co nsultant t o t he F inancial S ervices A uthority, t he S ecurities a nd
Investments B oard, H. M. Treasury, t he C abinet O ffice, the Corporation
of London, the United Nations, the Investment Management Association,
the L ondon S tock E xchange, a nd t he L ondon I nternational F inancial
Futures a nd O ptions E xchange. H e ha s r eceived r esearch g rants f rom
the Social Science Research Council, the British Council, the Institute of
Chartered Accountants in England and Wales, and the Chartered Institute
of Management Accountants. He is a member of the editorial boards of the
Journal of Futures Markets, the Journal of Business Finance and Accounting,
the European Journal of Finance, and the Journal of Financial Management
and Analysis, and is a vice chairman of the Research Board of the Chartered
Institute of Management Accountants, London, United Kingdom.
Laurens Swinkels, PhD, is an assistant professor of finance at the Erasmus
School o f E conomics i n R otterdam, t he N etherlands, a nd a n a ssociate
member of t he Er asmus Re search I nstitute of Ma nagement, Rotterdam,
the Netherlands. He is also a senior researcher at Robeco’s Quantitative
Strategies Department and a board member of the Robeco Pension Fund.
He received his PhD in finance at the CentER Graduate School of Tilburg
University, the Netherlands.
Ian Tonks is a professor of finance in the Business School at the University
of E xeter, E ngland. H e te aches ac ross a ll a reas o f financial economics:

asset pricing, corporate finance, market efficiency, and performance measurement. His research focuses on ma rket microstructure a nd t he organization of stock exchanges, directors’ trading, pension economics, fund
manager performance, and the new issue market. Ian is an associate member of t he C entre for Ma rket a nd P ublic Organisation (CMPO), Bristol,
United Kingdom, and is also a consultant to the Financial Markets Group
at the London School of Economics, United Kingdom. He has previously
taught at the London School of Economics and the University of Bristol,
United Kingdom, and held a visiting position in the Faculty of Commerce

© 2010 by Taylor and Francis Group, LLC


xxx ◾ Contributor Bios

at t he University of B ritish C olumbia, Vancouver, C anada, i n 1991. H is
publications include theoretical and empirical articles in leading finance
and economics journals.
Tiziana T orri i s a P hD st udent i n ac tuarial sc ience a t t he S apienzaUniversity o f R ome a nd t he Ma x P lanck I nstitute f or Dem ographic
Research in Rostock. She graduated in actuarial science and statistics at
the Sapienza-University of Rome. Currently, she is working as an actuary.
Her main research areas are mortality projection models and securitization of longevity risk.
Luis Vicente is a s enior lec turer in finance at t he Faculty of Economics
and Business Studies, University of Zaragoza, Spain. He obtained his PhD
in financial eco nomics in 2003, w here his do ctoral w ork r eceived “ the
extraordinary prize of social sciences.” He has p ublished papers in s ome
important journals such as the Journal of Pension Economics and Finance,
Geneva Papers, and Applied Economic Letters, among others. His research
interests include portfolio management, performance persistence, and style
analysis.
Carlos Vidal-Meliá is an associate professor of social security and actuarial science at Valencia University, Spain, and an independent consultantactuary. He h as pu blished a rticles i n i nternational re fereed pu blications
on public pension reforms, administration charges for the affil iate in capitalization systems, the demand for annuities, NDCs, and the actuarial balance for pay-as-you-go finance. Dr. Vidal-Meliá holds a PhD in economics
from the University of Valencia and a degree in actuarial sciences from the

Complutense University of Madrid, Spain.
Mark J. Warshawsky, PhD, is a director of retirement research at Watson
Wyatt Worldwide, Arlington, Virginia. He is a recognized thought leader
on pensions, social security, insurance, and health-care financing. Prior to
joining Watson Wyatt, he was an assistant secretary for economic policy
at the treasury department; the director of research at Teachers Insurance
and A nnuity A ssociation, C ollege Re tirement E quities F und (T IAACREF); and a senior economist at the IRS and Federal Reserve Board. He
is a m ember o f t he S ocial S ecurity A dvisory B oard f or a ter m t hrough
2012. He is also on the Advisory Board of the Pension Research Council
of t he W harton School. Dr. Warshawsky has w ritten numerous a rticles,

© 2010 by Taylor and Francis Group, LLC


Contributor Bios ◾ xxxi

books, and working papers, and has testified before Congress on pensions,
annuities, and other economic issues.
Ben W eitzer i s a b usiness a nalyst a t A merica On line, I nc. ( AOL),
Washington, District of Columbia. Prior to joining AOL, Weitzer worked
at Watson Wyatt Worldwide, a leading human resources consulting group
with a global reach.
Shane Francis Whelan, PhD, FFA, FSA, FSAI, is an actuary with extensive
experience of the investment and pensions industries where he has worked
as an investment analyst, fund manager, and strategist for over a decade.
He has acted as a co nsultant to t he Irish Association of Pension Funds
and large Irish pension schemes. He was a l ecturer in actuarial science
and statistics at University College Dublin, Ireland, in September 2001,
and later became the head of department. Dr. Whelan has presented and
published many papers on the topics of investment and pension to professional and academic audiences, and his research has been rewarded by

prizes from the Institute of Actuaries, London, United Kingdom, and the
Worshipful C ompany of Actuaries (a g uild i n t he City of L ondon). He
received his degree in mathematical science from UCD and a doctorate
from Heriot-Watt University, E dinburgh, S cotland. He ha s a lso played
an active role in the actuarial profession both in the United Kingdom
and Ireland.
Aihua Zh ang wa s a postd octoral r esearch f ellow i n t he S chool o f
Economics a nd F inance a t t he U niversity o f S t A ndrews, F ife, U nited
Kingdom, bef ore j oining t he Div ision o f I nternational B usiness a t t he
University of Nottingham, Ningbo Campus. She studied at the University
of K aiserslautern i n G ermany, where she received her PhD a nd MS c i n
financial mathematics. She received her first MSc in mathematics education
and her BSc in mathematics from the Central China Normal University,
and then worked as a lecturer in the China Petroleum University, Beijing,
China, before going to Germany. She worked as a mentor for MSc students
in financial mathematics at the University of Leeds, United Kingdom. She
studied economics at the University of Edinburgh, United Kingdom, as an
MSc student. She also studied at the University of Bath, United Kingdom,
with a PhD scholarship.

© 2010 by Taylor and Francis Group, LLC



Contributors
Laura Andreu
Accounting and Finance
Department
Faculty of Economics and Business
Studies

University of Zaragoza
Zaragoza, Spain
Pablo Antolin
Financial Affairs Division
Directorate for Financial and
Enterprise Affairs
Organisation for Economic
Co-operation and Development
Paris, France
María del Carmen Boado-Penas
Department of Foundations of
Economic Analysis II
University of the Basque Country
Bilbao, Spain
and
Department of Economics
Keele Management School
Keele University
Keele, United Kingdom

Dirk Broeders
Supervisory Policy Division
De Nederlandsche Bank
Amsterdam, the Netherlands
Giuseppina Cannas
Faculty of Economics
University of Cagliari
Cagliari, Italy
Ricardo Matos Chaim
University of Brasilia

Brasilia, Brazil
Bill Shih-Chieh Chang
Financial Supervisory
Commission
and
Department of Risk Management
and Insurance
National Chengchi University
Taipei, Taiwan
Marcin Fedor
AXA Group
Warsaw, Poland
xxxiii

© 2010 by Taylor and Francis Group, LLC