The aim of this paper is to analyze a particular demographic risk in pay-as-you-go (PAYG) pension funds. We focus on the influence of the demographic variable 'new entrants' and on its impact on the future evolution of the fund. The model adapts well to a closed pension fund which operates...

The aim of this contribution is to study the sustainability of a pay-as-you-go pension fund, through the analysis of demographic risk affecting these types of pension funds. A model for the evolution of the fund is presented considering the stochastic variables global asset return and new...

Demographic and economic evolution show how many public pension systems in the last decades have been facing the problem of financial sustainability. Usually financed by PAYG mechanism, they need constant balance between the amount of contributions and payments at all times. In the medium run...

A comparison between A(1) and A(2) processes, when used for describing the evolution in time of the global rate of return on investments made by an insurance company, is proposed. In particular, we compare the two processes analysing the parameter sensibility to the size of the sampling...

The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their point wise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter's influence on periodic contributions and/or future...