本研究主要分為三個部分：第一個部分探討壽險公司保單組合之最適資產配置；第二個部分探討確定提撥退休金制度下，員工所面臨的資產配置問題；第三個部分則為方法論的比較研究。此外，本文也探討長命風險(longevity risk)等相關議題。本文在Huang與Cairns (2006) 所提出的資產報酬模型下，推導出累積資產價值的期望值以及變異數，並利用套裝軟體的最佳化程式(optimization programming)獲得給定目標函數下的最適投資策略。 在保單組合資產配置之研究方面，我們分別針對保險公司繼續經營的商品以及即將停賣的商品提出合適的資產配置方式。常數資產配置方式(Constant rebalance rule)適合持續經營的商品，變動資產配置方式(Variable rebalance rule)則適合即將停賣的商品。在常數資產配置方式下，我們能夠得到投資組合的效率前緣線。此外，不管是何種資產配置方式，當保單組合的保單到期日較近時，保險公司必須增加其所持有的現金比例。 在確定提撥制下最適資產配置問題的研究方面，本文的結果符合一般退休基金經理人所採取的生命週期型態投資方式。本研究發現在Lee-Carter模型之下，考慮時間加權可以增加模型的預測能力。而在考慮長命風險下，員工必須採取更積極的投資策略。 本文決定資產配置之方法為預期模型(Anticipative model)，其在評價日時即決定未來的決策，不考慮新訊息對決策的影響。考慮新訊息會對決策產生影響的決定資產配置方法為適應模型(Adaptive model)。在第五章的研究裡，我們比較上述兩種決定資產配置方法之差異。研究結果發現，若以期望值與標準差為判斷標準，兩種決定資產配置方法並沒有絕對的優劣關係。而若在每個決策執行的時間點重新使用預期模型來決定新的資產配置策略，則其所對應的投資策略以及投資績效會與適應模型下的策略與投資績效接近。因此，在無法獲得適應模型投資策略封閉解的情況下，預期模型投資策略可以有效的近似適應模型投資策略。 / The purpose of this thesis is to investigate the asset allocation issue of the long-term investors. Our approach is to calculate theoretical formulae of the first two moments of the accumulated fund; we then adopt optimization programming to find a asset allocation strategy that fits the fund management target. Two kinds of investors are explored. The first one is an investment manager who manages a general portfolio of life insurance policies, and the second one is an employee who starts his career life in a DC pension plan. We also survey the longevity risk issue in this thesis. In the study of “optimal asset allocation for a general portfolio of life insurance policies”, two kinds of rebalancing methodologies are examined. For constant rebalance rule, which is applicable to a continuing business line, we find an efficient frontier in the mean-standard deviation plot that occurs with arbitrary policy portfolios. Also, the insurance company should hold more cash to reduce its illiquidity risk for portfolios in which policies will mature at earlier dates. In the study of “optimal asset allocation incorporating longevity risk in defined contribution pension plans”, we confirm the suitability of the lifestyle investment strategy. Investors in a DC pension plan should be more aggressive when he considers the longevity risk. Furthermore, we proposed a time adjustment technique to capture mortality predictions more precisely in this study. The approach of decision making of this thesis is referred to anticipative model, which does not consider the possible feedback from the future information. On the other hand, the approach of decision making that consider the possible feedback from the future information is referred to adaptive model. We further compare the two approached in the study “Comparative efficiency- anticipative model versus adaptive model”. The numerical results show that investors would not prefer the adaptive approach to the anticipative approach in the mean-variance criterion. Moreover, the downside risk is larger when the strategy is decided by adaptive approach. We also find that the strategy and its numerical distribution of anticipative approach can approximate to that of adapted approach if one re-assesses it at every decision date. Thus, the anticipative approach provides a first approximation on looking for the optimal investment strategy of adaptive model.

This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether an ABM is robust, partial or transitory and establishes a terminology to classify balancing mechanisms. Both financial and equitable balances are considered in assessing whether an ABM achieves balance. Families of definitions of equity are presented and a benchmark by which to measure equitable balance is defined and applied. The balancing mechanisms of Canada, Germany, Japan and Sweden are described, evaluated and classified. None of these mechanisms are found to be robust. This thesis provides a critical analysis of an approach referred to as integration to financial markets and the approach is found to be deficient. In analyzing the Swedish SSRS a critical error in the way assets are calculated is identified and a suitable correction is proposed. A further weakness in the application of the Swedish ABM is identified that means that once an imbalance occurs, balance is unlikely to be restored. The thesis also discusses some of the unusual characteristics of the steady-state contribution rate calculation for the Canadian SSRS and shows that although it has limited application and does not appear to depend on any actuarial principle, the steady-state contribution rate calculation creates a tension between the near and distant future, which is a factor in achieving financial balance over a seventy-five year horizon. With respect to the balancing mechanism in the Canadian SSRS, the thesis proposes a change in how the mechanism is defined so that the mechanism would be robust, within certain ranges.

This thesis examines stabilizing mechanisms in social security retirement systems (“SSRS”), especially those purporting to be automatic balancing mechanisms (“ABM”). It develops a consistent approach to identifying whether an ABM is robust, partial or transitory and establishes a terminology to classify balancing mechanisms. Both financial and equitable balances are considered in assessing whether an ABM achieves balance. Families of definitions of equity are presented and a benchmark by which to measure equitable balance is defined and applied. The balancing mechanisms of Canada, Germany, Japan and Sweden are described, evaluated and classified. None of these mechanisms are found to be robust. This thesis provides a critical analysis of an approach referred to as integration to financial markets and the approach is found to be deficient. In analyzing the Swedish SSRS a critical error in the way assets are calculated is identified and a suitable correction is proposed. A further weakness in the application of the Swedish ABM is identified that means that once an imbalance occurs, balance is unlikely to be restored. The thesis also discusses some of the unusual characteristics of the steady-state contribution rate calculation for the Canadian SSRS and shows that although it has limited application and does not appear to depend on any actuarial principle, the steady-state contribution rate calculation creates a tension between the near and distant future, which is a factor in achieving financial balance over a seventy-five year horizon. With respect to the balancing mechanism in the Canadian SSRS, the thesis proposes a change in how the mechanism is defined so that the mechanism would be robust, within certain ranges.

No description available.

Itinerários da Primeira Previdência Privada no Brasil, de uma iniciativa eclesial (1864) à consolidação de uma entidade aberta de previdência complementar (1993) é uma narrativa histórico-interpretativa da saga previdenciária de uma instituição eclesiástica de confissão luterana oriunda da imigração alemã no Brasil. Desde 1864, pastores alemães enviados ao Brasil, possuidores de cultura previdenciária, inspirados no associativismo que fundamentam o mutualismo, buscaram resolver seus problemas de desamparo previdenciário num ambiente em que sua religião era apenas tolerada pelo Império brasileiro e num contexto em que vigia ainda a escravidão, e onde as soluções previdenciárias oficiais eram patrocinadas e proporcionadas apenas pelos montepios. Sem nenhum apoio estatal, financeiro ou legal, por iniciativa privada e associativa, fundaram discretamente em 1 de março de 1883, no Rio Grande do Sul, o que a história maior deve laurear como a primeira previdência privada no Brasil. Característica desse modelo organizacional e do conceito moderno de previdência complementar é que se tratava de uma organização de pessoas físicas, de capital privado e gestionada pelos próprios associados que visava o pagamento de renda mensal vitalícia a clérigos inválidos, suas viúvas e órfãos, uma verdadeira previdência privada. Ao longo desses 130 anos de história as iniciativas e as soluções, ora foram dadas pelos próprios associados, ora pela Igreja Territorial da Prússia (Alemanha), alternando-se os patrocínios dos modelos, no Brasil e na Alemanha, quando das Primeira e Segunda Guerras Mundiais, até o encaminhamento final a partir de 1952, depois 1974, quando foi possível aos religiosos filiarem-se ao sistema oficial de previdência social no Brasil, para, por fim, consolidar-se como a última entidade aberta de previdência privada, sem fins lucrativos, a ser autorizada a funcionar no Brasil, com o nome de Luterprev, em 1993, atual etapa desse processo histórico previdenciário que se apresenta como cíclico e evolutivo. Essa singular história da previdência privada é representativa não apenas no âmbito da Igreja Evangélica de Confissão Luterana no Brasil, cuja confissão teológica está presente no País desde 1824, como também significativa no bojo da história maior da previdência privada no Brasil, pois inaugura, de forma inédita, a temática na historiografia eclesiástica brasileira, contribuindo igualmente, do específico para o geral, para a historiografia previdenciária no Brasil. Do ponto de vista da ciência administrativa é proposta uma discussão, aplicável a vários tipos de organizações humanas, eixos questionadores às fases históricas estabelecidos como eticização, profissionalização e capitalização, como sendo um diálogo entre a teoria das organizações e a teologia. Na perspectiva histórica, deve-se ainda registrar esse feito como uma nova contribuição da imigração alemã no País quando em 2014 se comemora 190 anos dessa imigração ao Brasil. / Itineraries of the First Private Pension Plan in Brazil, from an ecclesial initiative (1864) to the consolidation of an open entity for complementary pension funds (1993) is an interpretative historical narrative of the pension plan saga of an ecclesiastical institution of Lutheran confession originating with the German immigration in Brazil. As of 1864, German pastors sent to Brazil, having a pension plan culture, inspired in the associativism which gives foundation to mutualism, sought to resolve their problems of the lack of pension support in an environment in which their religion was only tolerated by the Brazilian Empire and in a context in which slavery still existed and where the official pension solutions were sponsored and granted only by the montepios (private social pension associations).Without any state financial or legal support, through a private and associative initiative, they discreetly founded, on March 1st of 1883, in Rio Grande do Sul, what the broader history should honor as the first private pension plan in Brazil. Characteristic of this organizational model and of the modern complementary pension plan, this was an organization of physical persons, with private capital and managed by the members themselves which aimed at paying a life time monthly income to invalid clergy, their widows and orphans, a true private pension plan. Throughout these 130 years of history the initiatives and the solutions were sometimes taken by the members themselves, sometimes by the Territorial Church of Prussia (Germany), the sponsorship of the models alternating between Brazil and Germany, due to the First and Second World Wars, until finally, as of 1952, and later 1974, it was possible for these religious people to join the official social security system in Brazil, and in the end they were able to consolidate the last open private pension plan non-profit entity, to be authorized to work in Brazil with the name of Luterprev, in 1993. This is the current stage of this pension plan historical process which presents itself as ciclical and evolutionary. This unique history of the private pension plan is representative not only in the area of the Evangelical Church of Lutheran Confession in Brazil, the theological confession of which has been present in the country since 1824, but is also significant in the midst of the broader history of private pension systems in Brazil, since it inaugurates, in an unprecedented way, the theme within the Brazilian ecclesiastical historiography, equally contributing, from the specific to the general, to the pension historiography in Brazil. From the administrative science point of view a discussion is proposed, which is applicable to various types of human organizations, about questioning axes related to the established historical phases such as ethicization, professionalization and (financial) capitalization as being a dialog between the theory of organizations and theology. From the historical perspective, this accomplishment should also be registered as a new contribution of the German immigration in the country when in 2014 190 years of this immigration to the country is commemorated.

Made available in DSpace on 2009-11-18T19:00:59Z (GMT). No. of bitstreams: 0 Previous issue date: 2001 / o trabalho discute os fatores que condicionaram a migração de planos de beneficios entre os Fundos de Pensão localizados no Estado do Espírito Santo. O mais antigo modelo de plano de beneficios implantado no Brasil, o plano de beneficio definido, tem características bastante vantajosas aos participantes, pois as empresas patrocinadoras assumem os riscos de desequilíbrio do plano, e os beneficios futuros são assegurados aos participantes. O segundo modelo, mais recente no país, tem como característica principal o fato de que o participante assume os riscos do plano, e os beneficios futuros dependem de diversos fatores, como rentabilidade, tempo de participação, entre outros, deixando de existir garantia aos participantes. Apesar disso, os Fundos de Pensão tem implantado processos de migração de planos de beneficio definido para contribuição definida com sucesso. O texto procura identificar as razões e conseqüências da migração, estabelecendo correlações entre os dois modelos, identificando suas diferenças e semelhanças, o papel exercido pelas empresas patrocinadoras e a estratégia de convencimento dos participantes. Pretende-se que as reflexões sobre esse processo possam contribuir para que os Fundos de Pensão e outros pesquisadores interessados possam ter um nível maior de compreensão e fundamentação sobre o assunto. / This dissertation discusses the factors that have created the framework for the migration of the pension plans among the pension funds in the state of Espirito Santo. The first benefit plan model in Brazil, the defined benefit plan, has many advantages for the participant. Their risks are supported by the sponsor of the plan, and future benefits are assured to the participants. The second model, more recently introduced in the country, has its main point in the fact that participants have to bear the risks, and future benefits depend on many factors like the historical performance of the plan and time of participation, and there is no guaranty to the participants. Regardless these facts, pension funds have adopted successful processes for the migration from defined benefits plans to defined contribution plans. This text identifies reasons and consequences of those process of migration, establishing correlations, differences and similarities between the two models, and the role of the sponsors and their strategies in persuading the participants. We intend to raise questions upon this process, in order to contribute for a greater levei of comprehension of the issue.

La crise financière de 2008 a eu un impact majeur sur l’économie mondiale. Les fonds de pension ont été affectés par l’éclatement de la bulle immobilière en raison des sommes qui avaient été investis en partie dans le secteur immobilier. Cependant, ce ne sont pas les seuls impacts que la crise financière de 2008 a eu. Afin de mieux illustrer comment la crise financière a pu affecter les régimes de retraite, ce mémoire compare plus spécifiquement les régimes complémentaires de retraite de deux économies de marché différentes. D’un côté, l’économie de libre marché est représentée par le Québec et de l’autre côté, l’économie de marché coordonné est représentée par la Finlande. Cette analyse des régimes de retraite est basée sur les dimensions suivantes : l’administration, l’admissibilité et le droit à une rente, le financement, le type de régimes de retraite et capitalisation. Douze entrevues ont été effectuées avec des experts pour déterminer quelle économie de marché était le mieux protégée de la crise financière de 2008. Notre analyse montre que la Finlande a été mieux protégée de la crise financière de 2008 grâce à son contexte institutionnel qui favorise le rendement à long terme et l’équité. / The 2008 financial crisis had a major impact on the world economy. Pension funds were affected by the bursting of the real estate bubble due to the sums that had been partly invested in the real estate sector. However, these are not the only impacts that the 2008 financial crisis had. In order to better illustrate how the 2008 financial crisis may have affected pension plans, this thesis more specifically compares the complementary pension plans of two different market economies. On the one hand, the free market economy is represented by Quebec and on the other hand, the coordinated market economy is represented by Finland. This analysis of pension plans is based on the following dimensions: administration, eligibility and entitlement to a pension, funding, type of pension plan and funding. Twelve interviews were conducted with experts to determine which market economy was best protected from the financial crisis of 2008. Our analysis shows that Finland was better protected from the financial crisis of 2008 thanks to its institutional context which favors performance. long term and equity.