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In an Individually Funded Pension System: How Can Risks Be Mitigated?

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Author Info

  • Solange Berstein
  • Olga Fuentes
  • Nicolás Torrealba

    ()
    (Studies Division, Chilean Pension Supervisor)

Abstract

This article presents the main risks that have to be faced in an individually funded pension system and describes the regulations that enable these to be mitigated in the case of Chile. One of these main risks refers to the investment of the funds and an analysis is made of the support that a life-cycle investment strategy might provide in this respect. On evaluating these strategies, there is discussion as to which is the most suitable risk measurement for consideration..

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File URL: http://www.spensiones.cl/redirect/files/doctrab/DT00036.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 36.

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Date of creation: Feb 2010
Date of revision: Feb 2010
Handle: RePEc:sdp:sdpwps:36

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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. 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.
  2. Berstein, Solange & Chumacero, Rómulo, 2010. "VaR Limits for Pension Funds: An Evaluation," MPRA Paper 22574, University Library of Munich, Germany.
  3. 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.
  4. 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," NBER Working Papers 13966, National Bureau of Economic Research, Inc.
  5. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 29-47, August.
  6. 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.
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Cited by:
  1. Solange Berstein, 2011. "Implementación de la Reforma Previsional en Chile," Working Papers 45, Superintendencia de Pensiones, revised Apr 2011.

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