Yes / This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset–liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximize the Sharpe ratio. We disaggregate pension liabilities into three components – active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes–Stein and Black–Litterman models as well as the actual USS investment decisions. Over a 144-month out-of-sample period, robust optimization is superior to the four benchmarks across 20 performance criteria and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.

L’augmentation de l’espérance de vie affecte les régimes de retraites français, fondés sur la répartition et la solidarité intergénérationnelle. Pour soutenir ce premier pilier de retraite, composé, pour un salarié du secteur privé, des régimes de base de la Sécurité sociale et des régimes complémentaires rendus légalement obligatoires de l’ARRCO et de l’AGIRC (pour les seuls salariés cadres), le recours à un deuxième pilier de retraite s’avère nécessaire. Fondé sur une gestion par capitalisation, ce pilier prend vie dans le cadre de l’entreprise. L’employeur décide de la portée de l’engagement souscrit à l’égard de son salarié : le versement d’une cotisation définie au cours de sa carrière ou celui d’une prestation viagère pendant sa retraite dont le montant est déterminé à l’avance. Si la création de régimes de retraite professionnelle relève de la liberté des entreprises, le législateur oriente leur action à travers un régime social et fiscal de faveur. Enfin, les régimes de retraite professionnelle entrent dans le champ du droit de la concurrence en vue de créer, au niveau européen, un marché unique des retraites professionnelles. Les retraites professionnelles se situent au carrefour de nombreux droits. Normes travaillistes, assurantielles, fiscales, commerciales, trouvent à s’appliquer aux côtés des dispositions des Codes de la sécurité sociale et de la mutualité. De leur articulation naissent des conflits. Leur résolution est la condition nécessaire à la création d’un cadre juridique propice au développement des retraites professionnelles. / The increase in life expectancy affects the French pension schemes, founded on principles of distribution and solidarity between generations. In order to support this first pillar of the retirement system, consisting both in a core Social Security program for employees in the private sector and in the legally mandatory supplementary schemes of ARRCO and AGIRC (only for executive-level employees), it has become necessary to turn to a second pillar. Based on management by capitalization, it becomes effective in the business framework. The employer determines the scope of the undertaking signed in favor of his employee: either the payment of a levy defined during the employee’s career or the payment of a lifetime benefit during his retirement, whose amount is determined in advance. While the creation of occupational pension schemes is up to the businesses, the legislature orients their initiatives towards a favorable social and fiscal scheme. Finally, occupational pension schemes are subject to competition law in order to create, at the European level, a unique market for occupational pension schemes. These schemes are at the crossroads of numerous branches of law. Labor law, insurance law, taw law, and commercial law are applicable along with the French “Code de la sécurité sociale” and the French “Code de la mutualité”. Conflicts stem from the linkage between all of these laws. Their resolution is the sine qua non condition to create a legal framework enabling occupational pension schemes to evolve.

This thesis analyses problems of old age pension scheme in the Czech republic from view of the employees of company INOTECH ČR, spol. s r. o.. It contains the proposal of solving to create reserves for old age pension scheme by using products offered in Czech republic like life insurance and pension aditional insurance.

This Master´s thesis deals with the topic of optional saving for retirement. The pension schemes of selected European countries and of the Czech Republic are described. Also the current situation and the problems these schemes are facing are analyzed. The thesis focuses on the forthcoming pension scheme reform in the Czech Republic. Further, the possible ways of the complementary pension scheme pillar financing using saving products are analyzed in detail. The objective of the thesis is to design an expert system for optimal saving product selection according to client´s individual requirements.

Non contributory periods is one of the key issues in the public discussion on the planned reform of the pension system in the Czech Republic and is being widely discussed by economists, social scientists and political representatives. The PhD thesis focuses on a detailed analysis of non-contributory periods in the Czech pension system and their impact on pension system balance and micro and macro economic connections. It includes an international comparison of non contributory periods and a minute description of one selected non contributory period -- child care in selected European countries. The extent of non contributory periods considered in the pension system represents one of the theoretical possibilities of parametric changes to the pension insurance system. Non contributory periods are taken into account in pension schemes either because the individual is carrying out a non-wage-earning activity beneficial to society or because the individual through no fault of their own finds themselves in an (adverse) social situation which from a humanitarian perspective justifies their participation in pension insurance without making insurance payments. The institution of non contributory periods helps to secure the universality of the pension system, which enables the participation of economically inactive persons in the pension insurance system. The amount of non contributory periods or the proportion between non contributory periods and years worked, or the proportion between paid insurance and non contributory periods (potential loss of insurance contributions) has, to date, merely been estimated in the Czech Republic. This PhD thesis presents the first accurate figures, based on unique individual data on insured persons; methods of analysis, synthesis, comparison, simulations were used and statistical methods were applied. The analysis reveals that non contributory periods are a significant element of the Czech pension system amounting to 22.4% of the total insurance period which is unacceptable especially as regards the principle of equivalence. The average duration of non-contributory periods for current pensioners is 8.7 years. The proportion of hypothetical insurance calculated from the average wage at potential total income from insurance was in the observed year 30% or 13% (calculation based on the minimum wage). Non contributory periods in the Czech pension system have a significant impact on its balance. Paying premiums for non contributory periods (included in pension law) would cause a decrease in the contribution rate to 18% (calculation based on the average wage). If non contributory periods were not considered, the potential savings on pensions paid out would be almost CZK 35 billion in the observed year. That represents 16.5% of expenditure on pension payments and more than twice the deficit of the pension insurance account for the observed year. Therefore the author recommends in the thesis the restriction of non contributory periods and the introduction of payments for such non-contributory periods from those people who will be entitled to a pension from such non contributory periods in the future.

The thesis describes the historical evolution of the EU social policy, clarifies the concept of the European social model and deals with characteristics of the basic models of the European social policy. The essential part of the thesis is devoted to the comparison of the social systems in Germany and Sweden from the point of view of the amount of taxes and social contributions, the structure of receipts and expenditure on social policy, the systems of old age pension schemes, the family policy and the unemployment benefit. The comparison shows some typical elements of the social state model that these two countries represent. The attention is also devoted to the contemporary challenges which the European social model has to face, especially the demographic development and aspects of globalization. The attitude and responses of the European Union to these challenges are also mentioned here.

This thesis covers the development of pension schemes in the People's Republic of China from 1949 until now. The goal is to explain what is the structure of chinese pension schemes, why are the pension schemes divided between rural and urban areas and how are the migrant workers' pension schemes incorporated into the social security system. Furthermore the reforms and challenges of the current pension system are analysed as well as the linkage to the hukou reform and family planning reform.

The purpose of this thesis is to analyze the dynamics of family support and public pension systems, and their impact on late-life happiness in contemporary South Korea. For this, three specific research questions, namely (1) the dynamics of intergenerational solidarity, public pension systems, and happiness; (2) the association between intergenerational solidarity and happiness; and (3) the association between public pension systems and happiness, are analysed by exploiting the Korean Longitudinal Study of Ageing. The analyses show that (1) the structural solidarity of older people is relatively stronger than of middle-aged people; (2) contacting is the key player in associational solidarity in later life; (3) middle-aged people supply more financial aid to their adult children than they receive from them, but the reverse applies to older people. Both middle-aged and older people actively exchange food, household items, and health-care supplies; (4) more older men receive the National Pension Scheme benefit than older women but the reverse is true for the Basic Old-Age Pension benefit; (5) the level of happiness in later life is very high but decreases as people age; (6) the number of adult children, frequency of contact, and amount of financial support are positively associated with the happiness of older people; and (7) the National Pension Scheme is positively associated with the happiness of older men while the Basic Old-Age Pension is negatively associated with the happiness of older people. The results suggest some policy implications for late-life happiness in contemporary South Korea. At the individual level, increased frequency of contact, availability of the children, and the amount of financial support can enhance late-life happiness. At the governmental level, the research suggests that the gendered structure of the National Pension Scheme and means-tested structure of the Basic Old-Age Pension should be reformed.

政府為雇主之公務人員退休撫卹計劃，依據現行退撫法規設立公務人員退休撫卹基金管理委員會及監理委員會負責業務執行，屬於雇主〈即政府〉責任之退休基金提撥政策依法由公務人員退休撫卹基金管理委員會釐定，定期依照精算評估報告規劃年度提撥率與基金負債，由於公務人員退休撫卹制度之健全與否攸關國家行政效能，依歐美先進國家之作法，均依據精算原理擬定合適之退休金提撥原則，並將財務資訊透過政府單位之財務報導予以認列與揭露，本研究鑑於公務人員退休撫卹計劃之特殊性與重要性，以美國政府會計準則第27號公報為參考依據，探討政府採用退休金提撥原則之合理性，如何正確揭露於相關之財務報導，適度認列公務人員退休基金之負債，同時清楚呈現基金之提撥歷程，建立完整之精算揭露準則與方法。 第一章 緒論 第一節 研究動機和目的 第二節 研究範圍和限制 第三節 研究架構和內容 第二章 公務人員退休撫卹計劃 第一節 退休撫卹計劃的類型 第二節 公務人員退休撫卹計劃之角色 第三章 退休基金之提撥原則 第一節 前言 第二節 確立提撥所依據的精算負債 第三節 確立基金提撥的方法與目標 第四節 建立財務分析模式 第五節 確定目標成本提撥的穩定度 第六節 檢驗基金提撥是否符合法律與會計規範 第四章 公務人員退休撫卹計劃之財務報導 第一節 不同退撫計劃財務報導之差異 第二節 我國公務人員退撫計劃之種類 第三節 公務人員退撫計劃財務報導之基本概念 第四節 公務人員退撫計劃資訊之揭露 第五章 結論與建議 第一節 結論 第二節 建議 第三節 後續研究之建議 附錄一 名詞解釋 附錄二 各種精算成本法之數學公式及說明 附錄三 公務人員退撫計劃退休金相關精算資訊財務報導之範例說明 附錄四 中華民國精算學會「退休辦法一般公認精算評估準則」 附錄五 財務會計準則公報第十八號精算評估中針對具有共同性精算假設所應採用之基礎 參考書目 / According to enact public employees pension regulations, the Taiwan public employee management board and supervisory board was established to perform the administration for the government employees pension plan. The management board is required by law to set up the funding policy and disclose the plan liabilities to the plan members annually. Since the financial soundness and compensation suitability of the pension scheme is directly related to the government productivity and competency, the funding schedule need to be guided carefully based on the sounded actuarial principle. In this study, statement No.27 of the government standard accounting board (GASB) employed in United States is examined to investigate the substantive funding policy and financial reporting. The financial reporting of the funding schedule for the public and the accrued liabilities disclosed in the balance sheet of the pevsion fund are also scrutinized. Finally explicit requirements for actuarial reporting and general actuarial principle for government employees pension plan are proposed.

Establishing retirement age is a key issue for each and every pension system. How this issue is resolved is palpable for every citizen and also has a major political dimension. The main reasons for increasing the retirement age - which is occurring in all European countries - are demographic development and economic factors, such as higher life expectancy, increasing the proportion of pensioners to the number of economically active people, and the growing costs for the pension system. This thesis describes the current reform steps in Europe and provides a thorough analysis of factors which are relevant for dealing with retirement age issues. The analysis is based on official statistical data, which are scrutinized even in mutual correlations. The need for an interdisciplinary approach which eliminates unilateral vistas and biased application of data lifted out of context and long-term trends is emphasized. Special attention is paid to the genesis and current solutions regarding the retirement age in the Czech Republic. This thesis offers reasoning which supports setting 65 years of age as the statutory retirement age, including the mechanism for increasing it depending on how the life expectancy factor develops. How the retirement age issues are dealt with is based on the fundamental ethical...