Thesis (LLM. (Labour Law)) -- University of Limpopo, 2015 / Section 37C of the Pension Funds Act was introduced primarily to ensure that death benefits are paid in accordance with the object of the Act and government policy. Its purpose is to make sure that the dependants of the deceased member are not left destitute upon the death of the member. In order to achieve this, the death benefits are placed under the control of the trustees who are tasked with the duty to distribute the benefits equitably among the beneficiaries. According to this section, death benefits do not form part of the deceased’s estate and as a result a beneficiary under the last will and testament of the deceased is not necessarily a beneficiary under section 37C of the Act. The board of trustees will consider a person as a beneficiary if the deceased member has nominated such a person in a valid nomination form. This section therefore overrides the deceased’s freedom of testation because the board of trustees are not bound by the deceased’s wishes as completed in the nomination form. A nomination form is one of the factors which the trustees have to consider in the exercise of their discretion to make an equitable distribution.

Bakgrund: Det rådande pensionssystemet i Sverige består av sex så kallade AP-fonder. Genom åren har pensionssystemet flertalet gånger kritiserats för dess låga avkastning. Problem: Vår huvudfråga är att jämföra AP-fondernas risk och avkastning med aktiemarknaden som helhet, detta ska ske med hjälp av två jämförelseindex: MSCI World och SIXRX. Syfte: Syftet med uppsatsen är att jämföra de fyra första AP-fondernas risk och avkastning med aktiemarknaden som helhet under åren 2002-2010. Metod: Vi har använt oss av en kvantitativ metod, genom att samla in information från AP-fondernas årsredovisningar och hemsidor. Vi har samlat in historisk data, som vi sedan har bearbetat och analyserat. Slutsats: De studerade AP-fonderna har presterat sämre än aktiemarknaden. / Background: The current pension system in Sweden consists of six so called AP-funds. Throughout the years the pension system has been criticized for its low return. Problem: We will compare the pension funds’ risk and return with the rest of the stock market as a whole. This will be done by the aid of two comparison registers: MSCI World and SIXRX. Purpose: Our purpose with the essay is to compare the pension funds in the Swedish pension system, their risk and return, with the share market as a whole. Method: We have used a quantitative method, by gathering information from the annual reports and relevant websites. We have also gathered historical data, which has been processed and analyzed. Conclusion: The studied pension funds have achieved lower results than the stock market market.

Evaluation of private pension funds in Lithuania Final work of University Postgraduate Studies, 84 pages, 22 figures, 11 tables, 85 references, 14 appendix, Lithuanian language. KEY WORDS: pensions, social security, pension reform, private pension funds. Research object – Private pension funds in Lithuania Research aim – to evaluate private pension funs in Lithuania. Objectives: 1)specify the concept of private pension funds. 2)perform theoretic the analysis of social insurance models and estimate their potential use in the practice of private pension funds. 3)estimate potential ways of sponsorship and administration of pension funds. 4)frame the methodology of evaluation of private pension funds. 5)evaluate private pension funs in Lithuania according to the prepared methodology. Research methods: the analysis and synthesis of scientific literature, logical analysis and synthesis, comparable analysis, structural comparative analysis, the analysis and synthesis of statistical information, graphic methods of modeling, method of rating.

Pensija – tai senatvės pajamos, skirtos kasdieniam senų žmonių vartojimui finansuoti. Šiandien beveik visi Lietuvos pensininkai, kaip ir daugelyje Europos šalių, pensijas gauna iš valstybės, t. y. valstybė turi finansuoti beveik visą pensininko vartojimą. Dėl ilgėjančio senų žmonių amžiaus ir mažėjančio gimstamumo didėja valstybės išlaidos senatvės pensijoms. Vienas iš siūlomų valstybės išlaidų mažinimo būdų – padidinti asmeninių santaupų vaidmenį senatvės pajamose. Manoma, kad ateityje daugelis pensinio amžiaus žmonių beveik visą savo vartojimą turės finansuoti iš asmeninių santaupų. Vadinasi, pensijų sistemos reforma padidins asmeninių santaupų svarbą. Asmeninių santaupų struktūra – esminis pensijų reformos klausimas. Lietuvos gyventojai, galėdami laisvai pasirinkti investicijų formas (vyriausybės taupymo lakštai, banko indėliai ir pan.) ir investicijų horizontą, dažniausiai savo santaupas laiko trumpalaikių banko indėlių forma. LR Vyriausybė įvedė privalomąjį kaupimą pensijų fonduose, dalį socialinių draudimo įmokų perduoti į privačius pensijų fondus. Šie fondai pradėjo veikti 2004 metų pradžioje. Pensijų fondų finansavimo šaltinis – privalomos darbuotojų įmokos. Privalomojo kaupimo pensijų įmoka yra atimama iš valstybinio socialinio pensijų draudimo įmokos. / According to the currently effective system in Lithuania funds collected from currently employed persons are immediately paid out to the existing pensioners (the solidarity principle of generations). Pensions currently paid are too low to maintain a “normal” living standard. The practices of well-developed Western countries suggest that an old age pension should make at least 70 per cent of the average wages previously earned by the person in order to maintain a similar living standard (now it represents about 40 per cent of average wages). In the future pensions are likely even to decrease in relative terms as life expectancy is getting longer and employed persons will have to maintain more and more pensioners. In order to ensure a higher living standard for future pensioners the pension reform has been launched recently. It may help to take care of one’s future and have a possibility to receive higher income when retired. Participation in private pension funds provides a possibility to accumulate pension funds in one’s personal account. Pension funds invest contributions paid by employed persons in shares, bonds and bank deposits. By investing part of income of individuals in the pension funds the Government is changing the structure of personal savings, and that influences the importance of certain segments of the financial sector (banks, capital market, insurance, etc.) in the Lithuanian economy.

Magistrantūros studijų baigiamasis darbas, 69 puslapiai, 12 paveikslai, 8 lentelių, 88 literatūros šaltiniai, 11 priedų, lietuvių kalba. RAKTINIAI ŽODŽIAI: pensijos, socialinė apsauga, pensijų sistemos reforma, privatūs pensijų fondai. Tyrimo objektas – Lietuvos privatūs pensijų fondai. Darbo tikslas – įvertinti Lietuvos privačius pensijų fondus. Tyrimo uždaviniai: 1) nustatyti privačių pensijų fondų vietą pensijų sistemoje; 2) nustatyti privačių pensijų fondų svarbą kuriant gerovės valstybę; 3) atlikti privačių pensijų fondų veiklos ir vertinimo problemų analizę; 4) nustatyti pensijų fondų vertintojus ir jų vertinimo kriterijus; 5) parengti pensijų fondų įvertinimo metodiką; 6) pagal parengtą metodiką įvertinti Lietuvos privačių pensijų fondų veiklą. Tyrimo metodai - mokslinės literatūros bei loginė analizė ir sintezė, lyginamoji analizė, struktūrinė santykinė analizė, statistinių duomenų analizė ir sintezė, grafinio vaizdavimo metodas, reitingavimo metodas. / The final work of magistracy studies, 69 pages, 12 pictures, 8 tables, 88 literature sources, 11 annexes, in Lithuanian. KEY WORDS: pensions, social security, pension system reform, private pension funds. Research Target: private pension funds in Lithuania. Research aim: To evaluate private pension funds in Lithuania. Research Objectives: 1. To ascertain the location of private pension funds in pension system; 2. To ascertain the importance of private pension funds creating the welfare state; 3. To carry out the analyses of the problems determining the activity of private pension funds; 4. To establish the evaluators and their criteria for evaluating private pension funds; 5. To prepare methodics for evaluating pension funds; 6. to evaluate the activity of private pension funds in Lithuania according to the prepared methods. Research methods: logical analysis and synthesis of scientific literature, comparative analyses, structural relative analysis, analysis and synthesis of statistical data, graphical representation method, rate-making method.

SANTRAUKA Nijolė BALČIENĖ Lietuvos privačių pensijų fondų vaidmuo kuriant gerovės valstybę Magistrantūros studijų baigiamasis darbas, 68 puslapiai, 26 paveikslai, 31 lentelė, 71 literatūros šaltiniai, 5 priedai, lietuvių kalba. RAKTINIAI ŽODŽIAI: Gerovės Valstybė, senatvės pensijos, socialinė apsauga, privatūs pensijų fondai, anuitetas, investicijų pelningumas. Tyrimo objektas - Lietuvos pensijų fondai. Tyrimo dalykas – PF veiklos efektyvumas ir reikšmė kuriant gerovės valstybę priklauso nuo fondų veiklos ypatumų valstybėje, nuo dalyvių supratimo dėl savo pasirinkimo galimų pasekmių ateityje. Tyrimo tikslas – įvertinti Lietuvos pensijų fondų įtaką kuriant Gerovės Valstybę. Tyrimo tikslui pasiekti keliami šie uždaviniai : • Patikslinti pensijų fondų sąvoką ir apibūdinimą; • Nustatyti socialinės apsaugos uždavinius, kuriuos padeda spręsti privatūs pensijų fondai kuriant šalyje gerovės valstybę; • Atskleisti fondų veiklos rezultatų vertinimo rodiklių panaudojimo problemas; • Parengti privačių pensijų fondų vertinimo metodiką ir įvertinti Lietuvos pensijų fondų įtaką Gerovės valstybės kūrime per socialinės apsaugos uždavinių įgyvendinimo rezultatus; • Pateikti Lietuvos privačių pensijų fondų veiklos vertinimą. Tyrimo metodai – loginė analizė ir sintezė, literatūros analizė ir sintezė, statistinių duomenų struktūrinė ir palyginamoji analizė ir sintezė, grafinio vaizdavimo metodas, modeliavimas. / SUMMARY Nijolė BALČIENĖ Role of Lithuanian Private pension funds in Creating Welfare State Final work of University Postgraduate Studies, includes 68 pages, 26 pictures, 31 tables, 5 appendix, 71 references, Lithuanian language. KEY WORDS: Welfare State, pensions, social security, private pension funds, annuity, profitability of investments. Research object - Private pension funds in Lithuania. Research aim is to evaluate influence of private pension funds to creating Welfare State in Lithuania. Research subject – efficiency of the pension funds activity and its significance of creating Welfare State depend on the peculiarity of the funds activity in the state some as on the participants understanding of the probable consequences of their choice in the future. Objectives: 1) To specify the concept of private pension funds. 2) To perform the theoretic analysis of the social insurance models and their potential use in the practice of private pension funds. 3) To estimate potential ways of sponsorship and administration of the pension funds. 4) To frame the methodology of evaluation of private pension funds. 5) To evaluate private pension funds in Lithuania according to the prepared methodology. Research methods: the analysis and synthesis of scientific literature, logical analysis and synthesis, comparable analysis, structural comparative analysis, the analysis and synthesis of statistical information, graphic methods of modeling, method of rating.

Magistro darbe išnagrinėta pensinio socialinio draudimo samprata bei aptarta socialinio draudimo istorinė raida Lietuvoje. Išanalizuotas privačių pensijų fondų objektyvus reikalingumas Lietuvoje. Šiame magistro darbe taip pat ištirta Lietuvos privačių pensijų fondų rinkos struktūra bei atlikta išsami Lietuvos privačių pensijų fondų rinkos ekonominė analizė. Pagal šios analizės rezultatus pateiktos privačių pensijų fondų tobulinimo galimybės. Patvirtinta autoriaus suformuluota hipotezė, kad Lietuvoje pensinio amžiaus žmonių aprūpinimas nėra pakankamas, todėl šią problemą galima dalinai išspręsti remiantis privačiais pensijų fondais. / This master‘s thesis examinated the concept of social security retirement and discussed social security historical development in Lithuania. Analyzed the private pension fund objective necessity in Lithuania. Also this master‘s thesis has been investigated Lithuanian private pension fund market structure and accomplished detail Lithuanian private pension fund market economic analize. According to the results of the analyze has been present the private pension fund improvement facilities. Author‘s formulated hypothesis – that Lithuania retirement age persons provision is not sufficient, so this problem can be partially resolved by private pension funds,was approved by the reasersh.

[pt] Muitos dos trabalhos em finanças, como os que envolvem modelos financeiros,concentram-se na busca de formas de rejeitar as suposições sobre as quais estes se baseiam. Contudo, uma questão importante, é verificar se um determinado modelo supera ou é superado pelas alternativas existentes.Assim foi feito nesta pesquisa, que tem como objetivo principal mostrar que o gerenciamento ativo de carteiras dos fundos de pensão, com todas as limitações constantes em sua legislação cria valor, se comparado ao gerenciamento passivo. Ou seja, o gerenciamento ativo supera o gerenciamento passivo de carteiras.Basicamente, neste trabalho são apresentadas as limitantes presentes na legislação dos fundos de pensão e metodologias para a construção de carteiras.A carteira passiva foi construída segundo os conceitos presentes no algoritmo de Elton, Gruber e Padberg.A carteira ativa foi construída segundo um processo proposto por Grinold e Kahn de transformar sinais / informações em alphas / previsões.Para a segunda etapa do processo de geração de uma carteira ativa foram utilizadas três técnicas de construção de carteiras: a metodologia das janelas; a metodologia da estratificação; e a metodologia de programação quadrática onde foi utilizado o programa AEGIS 3.0 da consultoria BARRA. Após a construção das carteiras uma comparação, entre ambas, valida o objetivo proposto. / [en] Many of the works in finance, as the ones that involves financial models, are concentrated in fetching the forms to reject the assumptions on which these are based.However, an important question is to verify if one specific model surpasses or is surpassed by the other alternatives. Thus, it was made in this work, which main objective is showing that the active pension funds portfolio management, with all those legislation restrictions, creates value when it was compared to the passive management. In other words, the active portfolio management surpasses the passive management. Basically, in this work, we present the restrictions of the pension funds legislation and the methodology of the portfolio construction.The passive portfolio was built according to the concepts presented in the Elton, Gruber and Padberg algorithm. The active portfolio was built according to the process considered by Grinold and Kahn to transform signs / information into alphas / forecasts. For the second step of the process of the portfolio construction, there are three generic classes of procedures that cover the vast majority of institutional portfolio management, that are used: Screens; Stratification; and Quadratic Programming, in which we used AEGIS 3.0 of BARRA consult. After the portfolio construction we match the results to validate the main objective.

A intrínseca relação entre educação financeira e educação previdenciária, mais especificamente pela interação destes dois fatores como determinante no bem estar do indivíduo na fase pós-laboral, faz da educação financeira uma importante ferramenta de disseminação da cultura previdenciária. Em um âmbito nacional, diante de iniciativas de órgãos previdenciários como PREVIC, se estabeleceu a importância de ações e programas de educação financeira em Entidades de Previdência Complementar, surgindo a demanda em compreender, mensurar e acompanhar o nível de educação financeira dos públicos de Fundos de Pensão brasileiros. Assim, este trabalho objetivou propor e aplicar uma metodologia para coleta de dados primários, voltado à obtenção de indicadores e ao cálculo de um índice geral de educação financeira, o qual refletisse o nível de educação financeira do público analisado. A partir de estudos bibliográficos sobre o tema, assim como da experiência de órgãos internacionais como OCDE, constituiu-se um instrumento de aferição contendo 25 itens distribuídos em quatro indicadores pré-estabelecidos. A pesquisa de campo para aplicação e validação desse instrumento foi realizada através de método de levantamento de dados (survey) com aplicação de técnica de coleta via internet (online), resultando em uma amostra de 275 entrevistas válidas, selecionada de acordo com procedimentos amostrais probabilísticos. A validação do instrumento foi realizada com aplicação de técnicas de análise multivariada pelo método PAF. O resultado das análises efetuadas indicou a obtenção de cinco indicadores para o cálculo do índice geral de educação financeira, listados por ordem de importância: Poupança e Investimentos; Organização das finanças pessoais; Dívidas pessoais; Proteção; Noções de dinheiro e Matemática Financeira. / The intrinsic relation between financial literacy and social security education, more specifically by the interaction of these two as a determinant factor in the well-being of the individual in post-labor phase makes financial education a tool in major spread of social security culture. On a national level, before social security bodies initiatives as PREVIC, we established the importance of actions and financial education programs in the Complementary Pension Entities, surging demand to understand, measure and monitor the level of financial education of the public of Brazilian pension funds. This research aimed to propose and implement a methodology for primary data collection, aimed at obtaining indicators and calculating a general index of financial education, which reflect the financial literacy level of the analyzed public. From bibliographical references on the topic, as well as the experience of international bodies such as OECD, it constituted a benchmarking instrument containing 25 items divided into four pre-established indicators. The field research for application and validation of the instrument was conducted through data collection method (survey) with technical application collection via internet (online), resulting in a sample of 275 valid interviews, selected according to probability sampling procedures. The validation of the instrument was carried out with application of multivariate analysis by PAF method. The survey results of the analysis carried out indicated the achievement of five indicators to calculate the overall index of financial education, listed by importance: Savings and Investments; Organization of personal finance; Personal debt; Protection; Notions of cash and Financial Mathematics.

As entidades fechadas de previdência complementar (EFPC) possuem significativa relevância na economia brasileira com seus ativos dos fundos de pensão representando 16,8% do PIB em dezembro de 2009. O sistema de gerenciamento de risco dos fundos de pensão ainda não evoluiu na mesma proporção em que evoluiu em outros segmentos do mercado financeiro brasileiro. Para atender suas demandas de gerenciamento de risco, os fundos de pensão têm utilizado os modelos propostos para as instituições financeiras; tais modelos, contudo, não chegam a atender integralmente às suas necessidades. Os órgãos reguladores do setor têm estimulado os fundos de pensão a utilizarem seus próprios modelos para estimar a volatilidade e o Value at Risk (VaR). O objetivo do trabalho é propor uma modelagem de risco a partir da volatilidade estocástica (SV) para o cálculo do Value at Risk (VaR), comparando-a com a volatilidade calculada pela EWMA, proposta pelo Risk Metrics . A aplicação empírica do modelo foi efetuada a partir de uma amostra de uma série de retornos da carteira de uma entidade fechada de previdência complementar (EFPC) - fundo de pensão, a Indusprevi - Sociedade de Previdência Privada do Rio Grande do Sul. A amostra utilizada corresponde às cotas diárias entre o período de 01 de abril de 2004 até 31 de dezembro de 2009, representando 1.439 observações diárias. Os resultados apurados para a amostra demonstraram que a volatilidade estocástica (SV) tende a gerar um Value at Risk (VaR) mais conservador que o calculado a partir da metodologia do EWMA, quando testado pelo Teste de Kupiec (1995) e pela realização de Back testing. Tal fato, no entanto, torna o modelo mais adequado à realidade da Indusprevi e de uma grande maioria de outros fundos, que tendem a adotar políticas de investimentos mais conservadoras. / Pension funds have significant relevance to the Brazilian economy with assets representing, in December 2009, 16.8% of GDP. The pension funds risk management system has not evolved in the same pace as other sectors of the Brazilian financial market. To meet their demands for risk management, pension funds have employed the models proposed for financial institutions. Such models, however, fail to fully satisfy their needs. Government regulators have encouraged pension funds to use their own models so as to estimate volatility and Value at Risk (VaR). The main objective of this thesis is to propose a model of risk based on stochastic volatility (SV) to calculate the Value at Risk (VaR), as well as comparing it with the volatility estimated by EWMA, proposed by Risk MetricsTM. The empirical application of the model was made on a sample of portfolio returns of the pension fund Indusprevi - Sociedade de Previdência Privada do Rio Grande do Sul. The sample comprises 1439 daily quotes during the period April 1, 2004 to December 31, 2009. The results showed that the stochastic volatility (SV) tends to generate a more conservative Value at Risk (VaR) than the EWMA method when applying both the Kupiec (1995) test and back testing. This fact, therefore, makes the model more suitable to the principles of Indusprevi as well as a large majority of other funds, which tend to adopt more conservative investment policies.