The aim of the paper is to deal with the solvency requirements for Defined Contributions 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 investment 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 / A., Orlando; Politano, Massimiliano. - In: PROBLEMS & PERSPECTIVES IN MANAGEMENT. - ISSN 1727-7051. - STAMPA. - (2010), pp. 160-164.
Pension Funds Risk analysis: stochastic solvency in a management perspective
POLITANO, MASSIMILIANO
2010
Abstract
The aim of the paper is to deal with the solvency requirements for Defined Contributions 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 investment risks are modelled by means of diffusion processes. Their impact on the total riskiness of the fund is analyzed via a quantile approach.| File | Dimensione | Formato | |
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