This study provides a view of the decision-making process of Dutch company pension funds. The success of this research was the exceptional granting of access to four cases. Lack of such access could very well be the reason why research of this nature has not been previously achieved. The financial health of pension funds, expressed by the coverage ratio, showed a decline in 2008. Research has shown that there is a relationship between decision-making processes and outcome. Were the processes appropriate to set up and maintain a sufficient coverage ratio? A tailor-made conceptual research model has been developed and used as an analysis aid to research the TO BE situation based on legal requirements and factional documents and the AS IS situation based on empirical data. The model made it feasible to shed light on the implementation of good pension fund governance principles and decision-making process, which is a contribution to the current gap in research. The research showed that there is a relationship between the implementation of pension fund governance principles and appropriate decision-making processes. It also showed that there is a relationship between an appropriate decision-making process and coverage ratio. Both conclusions are not statistically proven due to the lack of the statistical significance, but are qualitative analysed and confirmed in the conducted case studies. It is suggested to use the research model by supervisor or pension funds to establish the mismatch between the implementation of pension fund governance principles and decision-making processes to enhance the quality of decision-making processes and outcome.

Submitted by Joana Azevedo (joanad@id.uff.br) on 2017-08-04T19:49:00Z No. of bitstreams: 1 Dissert Evandro Neves da Cunha Filho.pdf: 2439205 bytes, checksum: e2ae55c98289f818ec6f2029a19257c0 (MD5) / Approved for entry into archive by Biblioteca da Escola de Engenharia (bee@ndc.uff.br) on 2017-09-04T13:18:34Z (GMT) No. of bitstreams: 1 Dissert Evandro Neves da Cunha Filho.pdf: 2439205 bytes, checksum: e2ae55c98289f818ec6f2029a19257c0 (MD5) / Made available in DSpace on 2017-09-04T13:18:34Z (GMT). No. of bitstreams: 1 Dissert Evandro Neves da Cunha Filho.pdf: 2439205 bytes, checksum: e2ae55c98289f818ec6f2029a19257c0 (MD5) Previous issue date: 2015-05-05 / Este trabalho tem por objetivo analisar o sistema de previdência complementar para o poder de compra e para qualidade de vida das pessoas no futuro. Antigamente a adesão à previdência complementar era muito restrita, pois quase não existia divulgação nesse sentido, além disso a previdência complementar fechada se restringia a empresas de grande porte ou alguns órgãos públicos e a previdência complementar aberta era produto de luxo, apenas para pessoas de alto poder aquisitivo e/ou boa instrução. Hoje em dia, as previdências fechadas já são oferecidas em empresas de médio porte, grupo de empresas, associação de classe e nos órgãos públicos em quase a sua totalidade e na previdência aberta já se acentuou o número de adeptos. A previdência complementar vem demonstrando ser uma solução para evitar a perda de qualidade de vida das pessoas no momento da aposentadoria e de grande relevância para a economia. O estudo investiga o problema através de um método exploratório, qualitativo e documental por meio de um acervo em livros, artigos e sites com informações sobre o assunto. O aumento dos investimentos em Previdência Complementar tem sido um aspecto bem relevante já que grande parte dos ativos são em títulos públicos, renda fixa e renda variável, negociados no mercado financeiro. Os ativos dos fundos de pensão de alguns países são responsáveis por grande parte do PIB. / This work aims to analyze the pension system for the purchasing power and quality of life in the future. Previously joining the pension was very restricted because hardly existed disclosure in this sense also the closed pension was restricted to large companies and some government agencies and the open pension was luxury product, only to top people purchasing power and / or good education. Nowadays, closed social securities are already offered in medium-sized companies, group of companies, trade association and government agencies almost full and open pension already emphasized the number of supporters. The pension has proven to be a solution to prevent the loss of quality of life at retirement and of great importance to the economy. The study investigates the problem through an exploratory, qualitative and documentary method through a collection of books, articles and websites with information on the subject. The increased investment in Pension Funds has been a very important aspect since most of the assets are in government bonds, fixed income and equities traded on the financial market. The assets of some countries pension funds are responsible for much of the GDP.

The Pension system in the Czech Republic seems to be financialy unsustainable because of demographic development and economic consequences which is why it requires detailed systemathic change. This thesis will, in theory, describe and analyze reform possibilities which are derived primarily from conclusions of the Bezděk comission. At the same time it will also focus on alternatives which are presented by political parties or which are known from experiences from abroad. This thesis will also mention particular social groups which the pension system is related to, as well as pension funds and the state. The goal is to present comprehensive overview on the pension system issues and also show possible solutions.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2018-06-04T20:05:13Z No. of bitstreams: 2 Fabrizio Aguiar de Souza Scommegna.pdf: 287416 bytes, checksum: e17218bb03b78e9e9454efa303f5f345 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2018-06-04T20:05:13Z (GMT). No. of bitstreams: 2 Fabrizio Aguiar de Souza Scommegna.pdf: 287416 bytes, checksum: e17218bb03b78e9e9454efa303f5f345 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2018-02-23 / Brazilian pension funds have allocated 90% of their investments in fixed income and equity. The insertion of alternative investments, such as commodities, can improve the risk / return relationship since it carries zero correlation in comparison with the others. To verify if this new category can be considered as investment in a portfolio with the best risk / return ratio, the Sharpe Ratio was used to compare optimal portfolios that used commodities with others that did not use it. As a robustness test, we applied Ledoit and Wolf (2008), which compares two Sharpe Ratios in non-normal time series. The period considered is 2009 to 2017, we also observed periods of three years. The results showed that fixed income maintains high returns with low volatility and the portfolios resorts it, equities was not relevant for any period analyzed and investments in commodities were considered in the period of high interest of the economy. The Sharpe Ratio of that period was statistically higher than the traditional portfolio. / Os fundos de pens??o brasileiros t??m alocado 90% dos seus recursos em investimentos na classe de ativos de renda fixa e renda vari??vel. A inser????o de investimentos alternativos, como commodities, pode melhorar a rela????o risco/retorno dado que carrega correla????o nula em compara????o com as demais. Para verificar se essa nova categoria pode ser considerada como investimento em uma carteira com a melhor rela????o risco/retorno, fez-se o uso do ??ndice de Sharpe para comparar carteiras ??timas que utilizaram commodities com outras que n??o se utilizaram disso. Como teste de robustez usou-se de Ledoit e Wolf (2008) que compara dois ??ndices de Sharpe em s??ries temporais n??o normais. Al??m de investigar o per??odo de 2009 a 2017, foram observados tamb??m os tri??nios compreendidos nessa ??poca. Os resultados demonstraram que a renda fixa mant??m altos retornos com baixa volatilidade e as carteiras utilizaram bastaste dessa, o segmento de mercado renda vari??vel n??o foi relevante para nenhum per??odo analisado e os investimentos em commodities foram considerados no per??odo de alta de juros da economia. O ??ndice de Sharpe desse per??odo foi estatisticamente maior que a carteira tradicional.

<p>The subject for this paper is the Class Action against Skandia Association, a civil organization formed in 2003 with the aim of claiming compensation for some 1.2 million life insurance customers. The background to its formation was one of the largest financial scandals in Sweden in recent times, involving a number of questionable affairs within the insurance corporation Skandia and its subsidiaries, most notably the life insurance company Skandia Liv. The interests of both the stake- and stockholders of the company seem, in certain ways, to have been grossly misrepresented. The scandal, as well as the reaction it spawned, pose a number of questions. In this study, we focus on two: a possible, and in many ways apparent crisis in the representation of interests in Swedish society, and the role of civil society in upholding the balance between these interests.</p><p>We argue that what is often held to be the ”greed” or ”immorality” of individuals in scandals such as Skandia is, to a great extent, a mere reflection of the ”rational” underpinnings of modern-day capitalism.</p><p>We find that trust has been a key mechanism of control in the relationships between consumers and agents in pension and life insurance markets, and that ”the Swedish model” that distinguished post-WWII Swedish society was a model heavily based on trust towards existing models of bureaucratic governance. Furthermore, the increase in social and technical complexity of the systems and relationships necessary of our individual and collective welfare, as well as the growing anonymity of the people we depend on, seem to have resulted in a gap that cannot be bridged without resorting to trust.</p><p>We also find that elements of the Skandia scandal mirror a larger societal development in which the balance between interests has been disrupted, causing severe breaches of trust. Over time, and as a result of a largely global interplay between power and discourse, the Swedish model has undergone a considerable transition, gradually transforming elements of the underlying institutional foundations of both the market and the state.</p><p>Such transitions, and the herein observed inability of both market and state to cope with them while maintaining the balance between interests of society as a whole, make us believe that the importance of a vital civil society cannot be understated. The Class Action against Skandia Association is a testament to its potential.</p>

In this work we contribute to the literature about the optimal asset allocation in continuous-time. In particular, we consider the problem of maximising the expected utility of the investor's final wealth over a finite time horizon. We develop a suitable framework in the dynamic stochastic optimal control theory in order to analyse the optimal asset allocation problem for an institutional investor like a bank, an insurance company, an investment fund, or a pension fund. Such an investor cannot control the contributions to and withdrawals from the managed wealth. In fact, while the classical consumption-portfolio problem considers consumption as a control variable, in our analysis the flows of wealth that are different from the coupons and dividends, are just state variables. We refer to them as "background variables". Furthermore, the analysis explicitly takes into account the inflation risk that is generally neglected by the asset allocation literature. In such a context we present some quasi-explicit solutions for the optimal asset allocation problem without specifying any particular functional form for the drift and diffusion terms of the stochastic differential equations describing the financial market, the background variables, and inflation. The institutional investor's attitude towards risk is supposed to be described by an increasing and concave utility function whose risk aversion is absolutely constant, relatively constant, or hyperbolic according to the problem setting that must be solved. Finally, we explicitly consider the case of a pension fund that must maximise the expected utility of its surplus. Unlike the analyses studying the problem of a non-actuarial institutional investor, the case of a pension fund requires the introduction of two new characteristics: (i) the different behaviour of the fund's wealth during the accumulation and the decumulation phases, and (ii) the mortality risk. We develop a set up aimed at finding out how and how much this mortality risk affects the optimal asset allocation./ Dans ce travail nous donnons une contribution à la litérature de l'allocation optimale du portefeuille en temps continu. En particulier, nous analysons le problème d'un investisseur qui veut maximiser la valeur espérée de l'utilité de sa richesse, avec un horizon temporel fini. En utilisant la théorie du contrôle optimal dynamique, on developpe un modèle dédié à l'analyse de l'allocation optimal de portefeuille pour un investisseur institutionnel tel qu'une banque, une compagnie d'assurance, un fond commun d'investissement ou un fond de pension. Un tel investisseur ne peut pas contrôler les contributions et les prelèvements du fond géré. En effet, même si l'approche classique optimise soit le portefeuille soit la consommation intertemporelle en considérant les prélèvements du fond dûs à la consommation comme une variable de contrôle, dans notre approche les flux de richesse qui diffèrent des coupons et dividends, sont tout simplement des variables d'état. On appellera ces variables "variables de background". De plus, notre analyse rend compte explicitement du risque d'inflation qui est généralement négligé par la literature sur l'allocation des actifs financiers. Dans ce contexte nous présentons une solution quasi-explicite pour l'investissement optimal sans spécifier acune forme fonctionnelle ni pour les dérives, ni pour les diffusions des équations stochastiques qui décrivent le marché financier, les variables de background et l'inflation. Nous supposons que l'attitude envers le risque de l'investisseur institutionnel est décrit par une fonction d'utilité croissante et concave, dont l'aversion au risque est absolument constante, relativement constante ou hyperbolique selons la structure du problème qui doit être resolu. Finalement nous analyson explicitement le cas d'un fond de pension qui veut maximiser la valeur espérée de sons surplus. Contrairement aux modèles qui étudient un investisseur qui est institutionnel mais pas actuarial, le cas d'un fond de pension requiert l'introduction de deux nouvelles characteristiques: (i) le comportement différent de la richesse du fond pendant les phases d'accumulation et de décumulation, et (ii) le risque de mortalité. Nous developpons un modèle afin de déterminer comment et combien le risque de mortalité affecte l'allocation optimale de portefeuille.

One of the classical problems in finance is that of an economic unit who aims at maximizing his expected life-time utility from consumption and/or terminal wealth by an effective asset-liability management. The purpose of this thesis is to determine the optimal investment strategies , from the point of view of their economic utility, for individual and institutional investors such pension funds.

The subject for this paper is the Class Action against Skandia Association, a civil organization formed in 2003 with the aim of claiming compensation for some 1.2 million life insurance customers. The background to its formation was one of the largest financial scandals in Sweden in recent times, involving a number of questionable affairs within the insurance corporation Skandia and its subsidiaries, most notably the life insurance company Skandia Liv. The interests of both the stake- and stockholders of the company seem, in certain ways, to have been grossly misrepresented. The scandal, as well as the reaction it spawned, pose a number of questions. In this study, we focus on two: a possible, and in many ways apparent crisis in the representation of interests in Swedish society, and the role of civil society in upholding the balance between these interests. We argue that what is often held to be the ”greed” or ”immorality” of individuals in scandals such as Skandia is, to a great extent, a mere reflection of the ”rational” underpinnings of modern-day capitalism. We find that trust has been a key mechanism of control in the relationships between consumers and agents in pension and life insurance markets, and that ”the Swedish model” that distinguished post-WWII Swedish society was a model heavily based on trust towards existing models of bureaucratic governance. Furthermore, the increase in social and technical complexity of the systems and relationships necessary of our individual and collective welfare, as well as the growing anonymity of the people we depend on, seem to have resulted in a gap that cannot be bridged without resorting to trust. We also find that elements of the Skandia scandal mirror a larger societal development in which the balance between interests has been disrupted, causing severe breaches of trust. Over time, and as a result of a largely global interplay between power and discourse, the Swedish model has undergone a considerable transition, gradually transforming elements of the underlying institutional foundations of both the market and the state. Such transitions, and the herein observed inability of both market and state to cope with them while maintaining the balance between interests of society as a whole, make us believe that the importance of a vital civil society cannot be understated. The Class Action against Skandia Association is a testament to its potential.

Value at Risk (VaR) approach has been extensively used by investment and commercial banks since its development by JP Morgan in 1990s. As time passes, it has become interesting to investigate whether VaR could be used also by other financial intermediaries like pension funds and insurance companies. The aim of this paper is to outline Value at Risk (VaR) methodology by giving more emphasis on parametric approach which is used for empirical section and to investigate the applicability and usefulness of VaR in pension funds. After providing theoretical framework for VaR approach, the paper continues with pension fund systems in general and especially highlights AP funds of Swedish National pension fund system by trying to show why VaR could be an invaluable risk management tool for these funds together with other traditional risk measures used. Based on this given theoretical frame, a practical application of VaR –parametric or covariance/variance method- is executed on 50 biggest investments in the fixed income and equity portfolios of three selected Swedish national pension funds – AP1, AP2 and AP3. Results of one day VaR (DEAR) estimations on 30/12/2005 for each fund have been presented and it is aimed to show the additional information that could be obtained by using VaR and which is not always apparent from other risk measures employed by funds. According to the two traditional risk measures which are active risk and Sharpe ratio; AP2 and AP3 lie in the same risk level for 2005 which can create a contradiction by considering their different returns. On the other hand, obtained DEAR estimates show their different risk exposures even with the 50 biggest investments employed. The results give a matching relationship between return of funds and DEAR estimates meaning that; the fund with the highest return has the highest DEAR value and the fund with the lowest return has the lowest DEAR value; which is consistent with the main rule- “higher risk, higher return”. Thus, we can conclude that VaR could be applied additionally to get a better picture about real risk exposures and also to get valuable information on expected possible loss together with other traditional risk measures used. Key words: Value at Risk, DEAR, Pension funds, Risk management, Swedish pension plan, AP1, AP2, AP3

In the past, when deciding the asset allocation, fund managers only concerned the factors of assets. This incomplete way may let pension funds not cover their liabilities. To solve this problem we integrate the factors which influence fund¡¦s assets and liabilities and focus on surplus, which means assets minus liabilities. We use Surplus Optimization Model and Immunization Theory to construct our Liability Driven Investment and Dual Duration Matching Model. We decompose duration to real interest rate duration and inflation rate duration to control the sources of interest rate. Through this method, we can enhance the efficiency of asset allocation to ensure paying pension annuity punctually and avoid the risk of interest rate. Our sample period is Sept. 2001 to Aug. 2005 and sampling frequency is monthly. We use the common investment tools, stocks index, government bond index, 5 years corporate bonds, 3 years bank deposit, 30 days commercial papers, to be the assets we can allocate. We discover that when using liability driven investment and duration matching the longer years we consider the longer assets duration we need. Because government bond index¡¦s duration is shorter than stocks index¡¦s. When we consider longer years the weight of government bond index will decrease and the weight of stocks index will increase. When considered years are 50, the weight of government bond index is 54.74% and the weight of stocks index is 45.26%. The ratio of equity assets to fixed income assets is 84.51% that is similar with pension fund¡¦s ratio, 86.13%. No matter how many years we consider, the weight of bonds is high. But in pension funds¡¦ target allocation the weight of bonds is only 16% and the weights of bank deposit and T-bills are 31%. To take immunization strategy and improve the long term revenue, a large proportion should be allocated from bank deposit and T-bills to bonds.