Application of Modern Techniques to Achieving Actuarial Balance of Pension Funds

Maja Martinovic

Ekonomika, Journal for Economic Theory and Practice and Social Issues, 2010, vol. 56, issue 4

Abstract: The functioning of defined benefit plans is a subject to strictly legal regulations related to achieving and maintaining actuarial balance to ensure the security of promised pension payments. The risk control process relating to the management of portfolio risk in order to provide appropriate relationship of assets and liabilities ("asset liability matching") may be included in modern techniques that are based on stochastic linear programming. The problem of managing assets and liabilities of the pension fund is a dynamic decision that is made in the fullness of uncertain parameters. Asset management includes the decision on the structure of the portfolio (yield of various financial instruments is uncertain), while liabilities which consists of the future payment of a pension depends on the actual current market value of these instruments.

Keywords: Financial; Economics (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/289236/files/4-2010%20pages%20120-127.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:sereko:289236

DOI: 10.22004/ag.econ.289236

Access Statistics for this article

More articles in Ekonomika, Journal for Economic Theory and Practice and Social Issues from Society of Economists Ekonomika, Nis, Serbia
Bibliographic data for series maintained by AgEcon Search ().