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.

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

From the implementation of National Health Insurance on March 1, 1995 in Taiwan, the public has obtained it¡¦s benefit, and it¡¦s really a blessing for Taiwanese. Following the implementation of National Health Insurance Policy, the public began having demands for National Pension due to the aging of society from 1993. As a result the authorities including the Ministry of the Interior which is in charge of National Pension, the Council of Agriculture which plans Farmer Pension, and the Council of Labor Affairs which proposes reforming Labor Pension Payment all show their attitude to take charge then positively frame each kind of pension systems. In fact, the coming of National Pension which is a blessing for the public could be the shackles to future generations. Blessing or shackles, it all depends on whether the formation of National Pension is for the public¡¦s benefit or only for the political intention. Is it for the people¡¦s lifetime protection and peaceful old age or only to make good the commitment made during the campaign? Is it a long-term, integral and foresighted consideration about people¡¦s demand or merely a short-term, sectional and realistic payback? With the basis of economic development to measure the long-term burdens and take improving financial affairs as an important condition, or, there is only one-year budget thus the local government have to raise funds and rely on central government subsidies? National Pension and National Health Insurance are both the nation¡¦s social security business, in order to benefit the public and not to recommit the same error of the current insurance systems, the authorities and other related groups should find out people¡¦s true demands and consider whether the people could afford the insurance premium but also take advantage of other countries¡¦ experience as consultation. This article is to probe into the achievement of National Pension implementation in Japan¡Xan orient country which has similar cultural background and family social formations with Taiwan.¡Xand to understand the background, current status, and the achievement of the implementation then take their strong points as an example to us. The Taiwan government planned to carry out National Pension in 2000, which is a significant social welfare policy after the implementation of National Health Insurance; unfortunately it doesn¡¦t come into effect even to this day due to the political rivalries and the substitution of political party. National Pension is a kind of compulsory savings scheme; it¡¦s a kind of insurance program and also a project of wealth redistribution. Furthermore, National Pension can be taken as the rearrangement of economic resources to regulate individual¡¦s wealth and income in the society, the arrangement of pension system would influence the management of whole economic system. The performance of pension has its dual purpose, the positive is to undertake the horizontal integration to have a healthy aged pension system; the passive is to grasp the opportunity to keep political power and electoral factors from causing the allowance or welfare systems become disordered. Lastly, to compare the main difference of pension implementation and the feasibility analysis after performance between Taiwan and Japan. Whether the pension can be put into practice or not depends on if we can achieve the most effective resources allocation of social resources, then we can see the economic benefits of pension system.

Thesis (Ph. D.)--Sophia University, Japan, 2006. / Includes bibliographical references (leaves 265-270).

<p>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.</p><p>Key words: Value at Risk, DEAR, Pension funds, Risk management, Swedish pension plan, AP1, AP2, AP3</p>

The pension system is an important part of social policy and public budget. Negative demographic development put pressure on the financial sustainability of the pension system therefore political establishment are forced to implement reform measures. The aim of the thesis will be to analyze the pension system of the Czech Republic between 2010 and 2016 and on the basis of this analysis to propose measures for its improvements. In the theoretical part the thesis will examine the social policy and issues of pension systems. At the same time it will pay attention to the international institutions and their proposals. In the practical part the thesis will be focused on demographic development which is a fundamental factor of the long-term stability of the pension system. It will analyze the changes in the pension system in the period under review. The conclusion of the thesis will show the possible ways to improve the stability of the pension system.

The submitted thesis deals with the system of retirement pension insurance within the territory of the Czech Republic. In the opening chapters it explains rudimentary terms and other important notions whose - at least sketchy - characterization is necessary for further full comprehension of the complex system of retirement pension benefits. The fifth chapter focusses on elementary terms which make clear the general calculation of retirement pension income. In the thesis different pension incomes (old age pension, disability pension and surviving dependant's pension) are defined by a general introduction into the topic of the respective types of pensions and their caracterization. In some cases there is a brief note about the historical context of the pension, in particular in case of surviving dependants' pensions. The thesis refers to the roots of such an adjustment. Then it is made clear what the legal conditions for the pension claim are, what entitles the benefit duration and when - according to the law - the respective benefit of pension insurance system expires, including the amount and payment of different pension incomes. The thesis includes important judicial verdicts of Czech law courts, principally on the retirement age interpretation, and a significant sentence of the European Court of...

Ph.D. (Finance) / The majority of private pension plans offered by employers are defined contribution plans where the risk is borne by the member. In a member-directed pension plan, the individual members need to make decisions regarding the investment of their contributions. The board of trustees usually provide them with a number of options to choose from. This research answers the question: which factors influence the investment decisions of members of member-directed defined contribution pension plans? The study makes a unique contribution to the field of retirement finance by determining the impact of financial risk tolerance, demographics, behavioural factors, and pension plan design and presentation factors on the investment decisions of members of a member-directed defined contribution pension plan. The results of the study inform a number of role players in the pension value chain to ultimately aid the pension plan member to effect a more optimal investment choice. A survey approach was followed to collect primary data to analyse together with secondary data within a quantitative research paradigm. A census was conducted on individuals who were members of the member-directed defined contribution pension plan of a South African higher education institution on 31 March 2008. A structured questionnaire was used to collect data on members’ demographics, financial risk tolerance, behavioural factors, and pension plan design and presentation factors. Secondary data consisted of additional demographic factors, which were available on the employers’ information system and data on member investment decisions obtained from the administrators of the pension plan. Of the 879 survey instruments distributed, 620 were returned at least partially completed and could be used in the study.

No description available.

The issue of increasing unfunded pension liabilities of state and local governments has drawn increasing attentions in the last few years, especially after the 2008 stock market downturn. To maintain sustainability many state and local governments have put public pension reform at the top of their priority list. Previous research and practices provide two strategies to reform the current pension systems: Incremental changes to amend the existing defined benefit plans (DB plans), and the pension model switch from the DB model to defined contribution plans (DC plans). This study aims to uncover reform strategies to cope for public pension systems. It first examined the appropriateness of the incremental reform strategies by identifying the determinants of the financial solvency of DB plans, utilizing the existing panel data of 151 local DB plans in Florida municipalities. Second, it gathered the primary data through the surveys and interviews with the Finance and HR directors in Florida local governments to analyze their perceptions of public pension reform and reveal their readiness to conduct the public pension paradigm switch. These approaches revealed the critical interperiod equity issue along with the impact of the two-tier benefit structure during the recent pension reform. The results suggest that incremental reform strategies that reduce benefits and increase contributions are not effective in improving the financial solvency of public DB plans. The alternative reform approach—the DB-to-DC transition—is attractive to local governments because it will relieve the employer of the pension cost burden and transfer the investment risk to employees themselves. The transition is also politically palatable because the taxpayer sentiment is not supportive of what are perceived to be generous retirement benefit of public employees. Meanwhile, local governments are hesitant to implement the paradigm switch due to prohibitive transition costs, political pressure, and perhaps more importantly, the potential negative impacts to public recruitment and retention. Local officials do not perceive a reduction of morale with the two-tier benefit structure at the present time; they believe this issue will solve itself along the retirement of senior employees.