Essays on strategic asset allocation and risk management of pension funds

Killian Lemoine

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: Since ten years, an increasing proportion of pension funds faces to severe financial difficulties, addressing some questions about the management of these institutions and the effectiveness of the regulatory framework. This thesis aims to analyze the investment decisions and financial risk management made by the pension fund defined benefit and assimilated institutions, in order to address some advances for the regulation purpose. First, we address the question of the pension funds management by analyzing the implications of the managerial control problem. Our analysis suggests that the efficient management may require an optimal splitting of control rights between plan participants and the sponsoring company. We then show how this splitting of right controls can affects investment decisions in pension funds. Second, we analyze the implications of financial cycles for pension fund management. Our results suggest that the regulatory framework produces large pro-cyclical, including regime-dependent capital requirement and regime-dependent investment decisions. Finally, we analyze how the structural change in mortality affect the risk and the risk management of pension funds

Keywords: Risque de longévité; Modèle à changement de régime markovien; Économétrie non-linéaire; Gestion actif-passif; Gestion des risques; Décisions d'investissement; Fonds de pension (search for similar items in EconPapers)
JEL-codes: G23 (search for similar items in EconPapers)
Date: 2013 Written 2013
Note: dissertation
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