The aim of the paper is to deal with the solvency requirements for defined contribution pension funds. The probability of underfunding is investigated in a stochastic framework by means of the funding ratio, which is the ratio of the market value of the assets to the market value of the liabilities. Demographic and invetment risks are modelled by means of diffusion processes. Their impact on the total riskiness of the fund is analyzed via a quantile approach.
Pension funds risk analysis: stochastic solvency in a management perspective
Orlando A;
2010
Abstract
The aim of the paper is to deal with the solvency requirements for defined contribution pension funds. The probability of underfunding is investigated in a stochastic framework by means of the funding ratio, which is the ratio of the market value of the assets to the market value of the liabilities. Demographic and invetment risks are modelled by means of diffusion processes. Their impact on the total riskiness of the fund is analyzed via a quantile approach.File in questo prodotto:
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