An Actuarial Approach to Evaluating Returns and Risk Hedging Strategies for Australian Pension Portfolios

DOI

10.2991/978-94-6239-642-5_39How to use a DOI?

Keywords

Pension investment; Dynamic hedging; Australian superannuation

Abstract

In light of growing longevity risk and increased volatility in global markets, this study examines return estimation and hedging strategies for pension investment portfolios within the Australian superannuation system. The purpose of the study is to evaluate how well various hedging strategies improve the sustainability and resilience of a portfolio. The study examines risk exposures and portfolio performance over a long period of time across several schemes using publicly available fund-level data from industry and regulatory sources. Static, dynamic, and non-hedged hedging are the three strategies that are assessed. According to the results, dynamic hedging that is adjusted for past volatility and downside risk metrics like Conditional VaR and Value-at-Risk offers better drawdown protection, better risk-adjusted performance, and steady long-term wealth accumulation. Further research reveals that gender differences in pension outcomes are still present, which raises questions about equity and sufficiency under the current market and policy frameworks. By outlining the benefits of actuarially informed investment strategies and suggesting specific enhancements to portfolio design, regulatory supervision, and personal risk management to promote more robust retirement systems, the study adds to the discussion on sustainable retirement funding.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zhen Li
PY  - 2026
DA  - 2026/04/29
TI  - An Actuarial Approach to Evaluating Returns and Risk Hedging Strategies for Australian Pension Portfolios
BT  - Proceedings of the 2026 11th International Conference on Financial Innovation and Economic Development (ICFIED 2026)
PB  - Atlantis Press
SP  - 389
EP  - 403
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-642-5_39
DO  - 10.2991/978-94-6239-642-5_39
ID  - Li2026
ER  -