Solvency measurement for defined benefits pension schemes

Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2)can also be consid- ered for pension fund liabilities. The purpose of this paper is to present various stochastic models in continuous time in order to estimate solvency capital for two important risks faced by pension funds: market risk and in ation risk. We address the situation of a Defined Benefit Pension Scheme (DB) with liabilities linked to final salary. We try to develop in this context a methodology co- herent with IAS norms based on the so called projected unit credit cost method but including a risk measure approach. We also show that pension portability could be modelled using classical ruin theory. The models are developed first in a geometric Brownian motion environment and afterwards, using a Lévy process for the asset