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Sistema de Pensiones de Capitalización Individual: ¿Cómo Mitigar Riesgos?

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Author Info

  • Solange Berstein
  • Olga Fuentes
  • Nicolás Torrealba

    ()
    (Studies Division, Chilean Pension Supervisor)

Abstract

Este artículo presenta los principales riesgos que se enfrentan en un sistema de capitalización individual y describe la regulación que en el caso de Chile permite mitigarlos. Uno de los principales riesgos que se enfrentan se refiere al de inversión de los fondos, respecto del cual se analiza el sustento que puede tener una estrategia de inversión de ciclo de vida. Al evaluar estas estrategias se discute sobre cuál es la medida de riesgo adecuada a considerar..

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File URL: http://www.spensiones.cl/redirect/files/doctrab/DT00035.pdf
File Function: Revised version, 2010
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Bibliographic Info

Paper provided by Superintendencia de Pensiones in its series Working Papers with number 35.

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Date of creation: Feb 2010
Date of revision: Feb 2010
Handle: RePEc:sdp:sdpwps:35

Contact details of provider:
Web page: http://www.spensiones.cl/
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Related research

Keywords: DC pension schemes; portfolio choice; pension risk; age-based investment strategies; risk sharing; risk based supervisión.;

References

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  1. Francisco J. Gomes & Laurence J. Kotlikoff & Luis M. Viceira, 2008. "Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds," American Economic Review, American Economic Association, vol. 98(2), pages 297-303, May.
  2. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
  3. Solange M. Berstein & R�mulo A. Chumacero, 2012. "VaR limits for pension funds: an evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1315-1324, May.
  4. David Blake & Andrew J. G. Cairns & Kevin Dowd, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.
  5. Solange Berstein & Andrea Tokman, 2005. "Brechas de ingreso entre géneros: ¿Perpetuadas o exacerbadas en la vejez?," Working Papers 8, Superintendencia de Pensiones, revised Jul 2005.
  6. Francisco Pino & Solange Berstein & Guillermo Larraín, 2006. "Chilean Pension Reform: Coverage Facts and Policy Alternatives," JOURNAL OF LACEA ECONOMIA, LACEA - LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION.
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