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2019　Pension Mathematics

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Academic unit or major
Graduate major in Industrial Engineering and Economics
Instructor(s)
Tsubono Tsuyoshi  Sugita Ken  Watanabe Zempei 
Class Format
Lecture     
Media-enhanced courses
Day/Period(Room No.)
Mon9-10(W935)  Thr9-10(W935)  
Group
-
Course number
IEE.A433
Credits
2
Academic year
2019
Offered quarter
2Q
Syllabus updated
2019/5/8
Lecture notes updated
-
Language used
Japanese
Access Index

Course description and aims

This course focuses on fundamental issues of pension mathematics.
Most of young people in Japan have very limited interest on pension systems, including public pension and private pension, or are affected by sensational information provided by mass media which inappropriately accents on concern for stability of future pension financing. So they have very limited opportunity to have an appropriate knowledge of pension systems. Students are expected to understand through this course that the pension systems are operated based on a rigorous mathematical methodology by learning correct knowledge of pension systems in Japan and its financial management.
Also, this course can be useful for the students who are interested in career of actuaries as the contents are deeply related in the area. The contents are:
1. Pension systems in Japan
 Introduction of pension systems in Japan mainly for public pension followed by explanation of history of corporate pension including the relation to retirement allowance and requirement by Japanese corporate
2. Pension mathematics
 Objectives , fundamental structure, funding methods for pension and actuarial valuation for funding and accounting
3. Investment of pension fund
 Key issues on investment for pension funds, Pension ALM( asset and liability management), policy asset mix, diversification of investment methodology and risk management

Student learning outcomes

Students are expected to be able to :
1. discuss on solution of future issues on pension systems based on correct understanding of pension system in Japan by their own perspective
2. solve fundamental computational problem for funding/accounting based on basic understanding of pension mathematics
3. solve fundamental computational problem for asset allocation/return/risk based on basic understanding of investment of pension funds

Keywords

 employee pension insurance/national pension plan/mutual pension plan/employee pension fund/defined benefit corporate pension plan/defined contribution pension plan
 actuarial assumptions/mature population concept/equation of maturity/funding method/actuarial valuation for funding/actuarial valuation for accounting
 asset allocation/return/risk/pension ALM/risk management

Competencies that will be developed

✔ Specialist skills Intercultural skills Communication skills ✔ Critical thinking skills ✔ Practical and/or problem-solving skills

Class flow

Omnibus form provided by three teachers( pension systems: 4, pension mathematics: 7, investment of pension funds : 3)
Class1-4：Tsubono,Class5-11:Watanabe,Class12-14:Sugita

Course schedule/Required learning

  Course schedule Required learning
Class 1 Introduction of pension system in Japan mainly for public pension Through reading of materials provided at orientation session
Class 2 Introduction of pension system in Japan mainly for public pension Through reading of materials provided at orientation session
Class 3 Introduction of pension system in Japan mainly for public pension Through reading of materials provided at orientation session
Class 4 History of corporate pension including the relation to retirement allowance and requirement by Japanese corporate Through reading of materials provided at orientation session
Class 5 Objectives of pension mathematics and fundamental structure Through reading of materials provided in OCW
Class 6 Actuarial assumptions and other concepts Through reading of materials provided in OCW
Class 7 General theory for funding method Through reading of materials provided in OCW
Class 8 Funding method used for actual pension management Through reading of materials provided in OCW
Class 9 Practical actuarial valuation to check appropriateness of actuarial assumptions Through reading of materials provided in OCW
Class 10 Actuarial valuation for funding to adjust differences between reality and projection Through reading of materials provided in OCW
Class 11 Actuarial valuation for accounting Through reading of materials provided in OCW
Class 12 Characteristics on investment of pension funds based on modern investment theory Through reading of materials provided in OCW
Class 13 Fundamentals of Pension ALM and its application Through reading of materials provided in OCW
Class 14 New trend in pension investment including policy asset allocation/diversification of investment method/rsik management Through reading of materials provided in OCW

Textbook(s)

"Shimpan Nekiin Suuri Gairon" Asakura Publishing Co., Ltd

Reference books, course materials, etc.

Materials for class 1to 4 is provided at the first class.
Materials for class 5 to class 14 is provided through OCW

Assessment criteria and methods

Judge based on record of attendance at classes and score of report with 5 subjects or more provided by the teachers. Attendance is judged by submitting forms for feedback of lectures

Related courses

  • NA
  • NA

Prerequisites (i.e., required knowledge, skills, courses, etc.)

NA

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