Risk Management and the Pension Fund industry

2004 ◽  
Author(s):  
IMF. Monetary and Capital Markets Department
Keyword(s):  
Risk Management ◽  
Pension Fund ◽  
Fund Industry

Stop-Loss Strategies and National Pension Fund Active-Risk Management in Korean Stocks

2018 ◽  
Vol 31 (4) ◽  
pp. 477-519
Author(s):  
Daeil Kang ◽  
◽  
Jong-Ho Park ◽  
Kyong Shik Eom
Keyword(s):  
Risk Management ◽  
Pension Fund ◽  
Stop Loss

scholarly journals Risk Management of Pension Fund: A Model for Salary Evolution

2019 ◽  
Vol 7 (3) ◽  
pp. 44 ◽  
Author(s):  
Guglielmo D'Amico ◽  
Ada Lika ◽  
Filippo Petroni
Keyword(s):  
Risk Management ◽  
Markov Chain ◽  
Pension Fund ◽  
Balance Sheet ◽  
Pension Scheme ◽  
Large Dataset ◽  
Almost All

In this paper, we propose a semi-Markov chain to model the salary levels of participants ina pension scheme. The aim of the models is to understand the evolution in time of the salary of activeworkers in order to implement it in the construction of the actuarial technical balance sheet. It isworth mentioning that the level of the contributions in a pension scheme is directly proportional tothe incomes of the active workers; in almost all cases, it is a percentage of the worker’s incomes. As aconsequence, an adequate modeling of the salary evolution is essential for the determination of thecontributions paid to the fund and thus for the determination of the fund’s sustainability, especiallycurrently, when all jobs and salaries are subject to changes due to digitalization, ICT, innovation, etc.The model is applied to a large dataset of a real compulsory Italian pension scheme of the first pillar.The semi-Markovian hypothesis is tested, and the advantages with respect to Markov chain modelsare assessed.

scholarly journals A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry

2016 ◽  
Vol 18 (2) ◽  
pp. 349-368 ◽  
Author(s):  
Alan Delgado de Oliveira ◽  
Tiago Pascoal Filomena ◽  
Marcelo Scherer Perlin ◽  
Miguel Lejeune ◽  
Guilherme Ribeiro de Macedo
Keyword(s):  
Stochastic Programming ◽  
Pension Fund ◽  
Management Model ◽  
Multistage Stochastic Programming ◽  
Asset Liability Management ◽  
Liability Management ◽  
Fund Industry

Ranking of the Pension Fund Industry in Spain: 1990-2010 (Ranking De Gestoras De Fondos De Pensiones)

2011 ◽  
Author(s):  
Pablo Fernandez ◽  
Javier Aguirreamalloa ◽  
Luis Corres Avendaño
Keyword(s):  
Pension Fund ◽  
Fund Industry

scholarly journals Performance clustering and incentives in the UK pension fund industry

2002 ◽  
Vol 3 (2) ◽  
pp. 173-194 ◽  
Author(s):  
D Blake ◽  
B N Lehmann ◽  
A Timmermann
Keyword(s):  
Pension Fund ◽  
Fund Industry ◽  
The Uk
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