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A quantitative model for the asset liability management of a Pension Fund

Cannas, Giuseppina (2011) A quantitative model for the asset liability management of a Pension Fund. [Doctoral Thesis]



The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here are: how to classify pension systems, the main characteristics of each kind of system, examples of major systems and the important reforms that have been implemented in Italy; the chapter ends with a description of Italian professional order pension funds. Chapter 2 describes asset liability management techniques in pension schemes; it contains a review on major literature on asset liability management and a discussion on interested parties in this topic and on policies and instruments which can be adopted. Chapter 3 contains an original model to determine the optimal financial investment policy in a pension fund, considering both financialand actuarial risk. Moreover, the model takes care of the pension plan’s sustainability, i.e. of the balance between the active and retired members. Chapter 4 is a numerical application of the model described in the previous chapter to a real Italian pension fund. Finally, in Chapter 5 conclusions are drawn related to the question asked.

Item Type:Doctoral Thesis
Date:09 February 2011
Tutor:Micocci, Marco
PhD classes:Ciclo 23 > Economia e gestione aziendale
Coordinator:Giudici, Ernestina
Institution:Universita' degli Studi di Cagliari
Divisions:Dipartimenti (fino a dicembre 2011) > Dipartimento di Scienze economiche e commerciali
Subjects:Area 13 - Scienze economiche e statistiche > SECS-S/06 Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Uncontrolled Keywords:Pension fund, Dynamic asset allocation, Sthocastic optimal control
ID Code:545
Deposited On:04 Mar 2011 11:48

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