2020 Faculty Courses School of Engineering Department of Industrial Engineering and Economics Graduate major in Industrial Engineering and Economics

Pension Mathematics

Academic unit or major: Graduate major in Industrial Engineering and Economics
Instructor(s): Tsuyoshi Tsubono / Ken Sugita / Zempei Watanabe
Class Format: Lecture (Zoom)
Media-enhanced courses: -
Day of week/Period (Classrooms): 9-10 Mon (W935) / 9-10 Thu (W935)
Class: -
Course Code: IEE.A433
Number of credits: 200
Course offered: 2020
Offered quarter: 2Q
Syllabus updated: Jul 10, 2025
Language: Japanese

Syllabus

Course overview and goals

This course focuses on fundamental issues of pension mathematics. (Zoom address will be informed via OCW-i no later than June 22nd)
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

Course description and aims

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

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/Objectives

	Course schedule	Objectives
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

Study advice (preparation and review)

To enhance effective learning, students are encouraged to spend approximately 100 minutes preparing for class and another 100 minutes reviewing class content afterwards (including assignments) for each class.
They should do so by referring to textbooks and other course material.

Textbook(s)

"Shimpan Nekiin Suuri Gairon" (3rd ed), Asakura Publishing Co., Ltd

Reference books, course materials, etc.

Materials are provided through OCW.

Evaluation methods and criteria

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 answering a simple questionnaire.