After a significant number of plans sponsored by employers with defined benefit fell into crises due to incapacity to meet their contractual obligations and clear superannuation benefits agreed upon, the attention is increasingly being paid to the risk assessment based supervision. The supervision based on risk assessment is essentially based on the appraisal of synchronized management of assets and liabilities of pension funds. Supervision based on risk assessment implies determining the impacts of potential risks on the retirement plan in order to reduce and restrain them, which is provided by way of determining loss probabilities using financial indicators in the evaluation of diverse risks. The supervision based on risk evaluation is the basic prerequisite for keeping and justifying trust and confidence in private retirement insurance, necessary for protecting the members of superannuation funds from material loss, as well as for realizing the aims set in all the countries which have gone through pension reforms, but also for the ones that are about to carry them out.