文章基本信息

标题：Pension funds risk analysis:stochastic solvency in a management perspective
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作者：Albina Orlando ; Massimiliano Politano
期刊名称：Problems and Perspectives in Management
印刷版ISSN：1727-7051
电子版ISSN：1810-5467
出版年度：2010
卷号：8
期号：3
页码：160-164
语种：English
出版社：LLC "CPC "Business Perspectives"
摘要：The aim of the paper is to deal with the solvency requirements for Defined Contributions Pension funds.The probability of underfunding is investigated in a stochastic framework by means of the funding ratio,which is the ratio of the market value of the assets to the market value of the liabilities.Demographic and investment risks are modelled by means of diffusion processes.Their impact on the total riskiness of the fund is analyzed via a quantile approach.
关键词：The aim of the paper is to deal with the solvency requirements for Defined Contributions Pension funds.The probability of underfunding is investigated in a stochastic framework by means of the funding ratio,which is the ratio of the market value of the assets to the market value of the liabilities.Demographic and investment risks are modelled by means of diffusion processes.Their impact on the total riskiness of the fund is analyzed via a quantile approach.