IDEAS home Printed from https://ideas.repec.org/a/ags/sereko/289236.html
   My bibliography  Save this article

Application of Modern Techniques to Achieving Actuarial Balance of Pension Funds

Author

Listed:
  • Martinovic, Maja

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.

Suggested Citation

  • Martinovic, Maja, 2010. "Application of Modern Techniques to Achieving Actuarial Balance of Pension Funds," Ekonomika, Journal for Economic Theory and Practice and Social Issues, Society of Economists Ekonomika, Nis, Serbia, vol. 56(4), December.
    • Handle: RePEc:ags:sereko:289236
    DOI: 10.22004/ag.econ.289236
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/289236/files/4-2010%20pages%20120-127.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.289236?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Financial Economics;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:sereko:289236. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.ekonomika.org.rs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.