Fehlentscheidungen bei Asset-Allokation durch ungeeignete aktuariellen Annahmen

Definition

International evidence from supervisory work (including OECD/IOPS background papers) emphasises that actuarial calculations and reviews play a crucial role in pension fund risk management, governance, and funding and investment decisions for defined benefit and hybrid pension funds.[3] Australian actuarial valuation reports for DB funds explicitly link the actuarial funding basis to assessment of investment arrangements, with actuaries reviewing the sufficiency of assets and the suitability of investment strategies relative to liabilities.[1][2] Where actuarial funding calculations rely on static or overly optimistic assumptions about investment returns, inflation or wage growth, trustees may be led to maintain riskier asset allocations or lower contribution rates than are prudent, increasing the likelihood of future deficits and volatility in sponsor contributions. Conversely, overly conservative assumptions can drive excessive de‑risking and higher current contributions, reducing long‑term returns and locking in an opportunity cost versus a more balanced strategy. Logic‑based quantification using typical Australian DB fund sizes (AUD 100–500 million in liabilities) and plausible mis‑specification of return assumptions by 50–100 basis points indicates potential opportunity costs in the range of 0.5–1.0% of assets per year, equivalent to AUD 0.5–5 million annually depending on fund size. Over a 5‑year period, this compounds to AUD 2.5–25 million in lost or excess costs compared with a strategy grounded in timely, integrated actuarial‑investment modelling. These costs manifest as higher sponsor contributions, lower funded status resilience, and missed return opportunities.

Why This Matters

The Pitch: Australian DB pension funds risk AUD Millionen in opportunity cost when funding calculations do not incorporate up‑to‑date risk and scenario analysis. Integrating real‑time liability projections and stress testing into actuarial valuation workflows helps trustees optimise investment strategy and avoid over‑ or under‑hedging.

Affected Stakeholders

Trustees and investment committees of superannuation funds, Chief Investment Officers, Appointed actuaries and risk officers, CFOs of sponsoring employers

Related Business Risks