IDEAS home Printed from https://ideas.repec.org/p/ubs/wpaper/ubs0403.html
   My bibliography  Save this paper

Risk management for pension funds

Author

Listed:
  • Francesco Menoncin

Abstract

We take into account the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. When both the interest rate and the market price of risk are deterministic, we are able to compute an explicit solution. In a simplified framework we demonstrate that this optimal portfolio is always less risky than the Merton’s (1969-1971) one. In particular, the asset allocation is less and less risky until the pension date while, after retirement of the fund’s member, it becomes riskier and riskier.

Suggested Citation

  • Francesco Menoncin, "undated". "Risk management for pension funds," Working Papers ubs0403, University of Brescia, Department of Economics.
    • Handle: RePEc:ubs:wpaper:ubs0403
    as

    Download full text from publisher

    File URL: http://fausto.eco.unibs.it/~segdse/paper_pdf/Menoncin%20(2).pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Masashi Ieda & Takashi Yamashita & Yumiharu Nakano, 2013. "A liability tracking approach to long term management of pension funds," Papers 1303.3956, arXiv.org.
    2. Hainaut, Donatien & Devolder, Pierre, 2007. "Management of a pension fund under mortality and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 134-155, July.
    3. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
    4. Gao, Jianwei, 2008. "Stochastic optimal control of DC pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1159-1164, June.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:ubs:wpaper:ubs0403. 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: Matteo Galizzi (email available below). General contact details of provider: https://edirc.repec.org/data/febreit.html .

    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.