IDEAS home Printed from https://ideas.repec.org/a/bas/econth/y2009i2p19-34.html
   My bibliography  Save this article

Investment Risk Management in Private Pension Systems

Author

Listed:
  • Ivanka Daneva

Abstract

This paper studies the specific features of pension services and the impact on financial risk management for pension plans with defined pensions and pension plans with defined contributions. A special attention is paid to the scientific methodology to identify, measure and evaluate various risks, related to investments in pension assets. There is an analysis of the assessment indicators of different types of risks in pension plans with contributions fixed in advance, stating the financing requirements and some aspects of risk measurement approaches in case of defined pension plans. The trends are outlined for further development of the investment risk management methodology in capital-based pension systems.

Suggested Citation

  • Ivanka Daneva, 2009. "Investment Risk Management in Private Pension Systems," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 19-34.
    • Handle: RePEc:bas:econth:y:2009:i:2:p:19-34
    as

    Download full text from publisher

    File URL: http://www.ceeol.com/aspx/issuedetails.aspx?issueid=0d659f98-6868-413f-b908-def61a356b8e&articleid=c1ec1f86-0b8f-4210-9dfd-8a099f314756#ac1ec1f86-0b8f-4210-9dfd-8a099f314756
    Download Restriction: Fee access
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Sandra Blome & Kai Fachinger & Dorothee Franzen & Gerhard Scheuenstuhl & Juan Yermo, 2007. "Pension Fund Regulation and Risk Management: Results from an ALM Optimisation Exercise," OECD Working Papers on Insurance and Private Pensions 8, OECD Publishing.
    2. Colin Pugh & Juan Yermo, 2008. "Funding Regulations and Risk Sharing," OECD Working Papers on Insurance and Private Pensions 17, OECD Publishing.
    3. Colin Pugh & Juan Yermo, 2008. "Funding regulations and risk sharing," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2008(1), pages 163-196.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. repec:bas:econth:y:2013:i:2:p:50-75 is not listed on IDEAS
    2. repec:bas:econth:y:2013:i:2:p:76-99 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ian Tower & Gregorio Impavido, 2009. "How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter," IMF Working Papers 2009/151, International Monetary Fund.
    2. Broeders, Dirk & Chen, An, 2010. "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1201-1214, June.
    3. He, Lin & Liang, Zongxia & Wang, Sheng, 2022. "Dynamic optimal adjustment policies of hybrid pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 46-68.
    4. Chen, An & Nguyen, Thai & Stadje, Mitja, 2018. "Optimal investment under VaR-Regulation and Minimum Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 194-209.
    5. Catherine Donnelly, 2017. "A Discussion of a Risk-Sharing Pension Plan," Risks, MDPI, vol. 5(1), pages 1-20, February.
    6. Zhun Peng, 2015. "Sensitivity of Pension Fund's Balance Sheet: a non-linear risk factor approach," Documents de recherche 15-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    7. Wang, Suxin & Lu, Yi, 2019. "Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 46-62.
    8. Ponds, E.H.M. & Severinson, C. & Yermo, J., 2012. "Implicit debt in public sector plans : An international comparison," Other publications TiSEM 8263bb65-8b50-4890-9252-0, Tilburg University, School of Economics and Management.
    9. Bruno Bonizzi & Annina Kaltenbrunner, 2019. "Liability-driven investment and pension fund exposure to emerging markets: A Minskyan analysis," Environment and Planning A, , vol. 51(2), pages 420-439, March.
    10. Zhao, Hui & Wang, Suxin, 2022. "Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1166-1180.
    11. De Haan, Leo, 2018. "Recovery measures of underfunded pension funds: higher contributions, no indexation or pension cuts?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 17(4), pages 437-468, October.
    12. Johanna Scheller & Jacques Pézier, 2008. "Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee," ICMA Centre Discussion Papers in Finance icma-dp2008-09, Henley Business School, University of Reading, revised Oct 2009.
    13. Rob Bauer & Matteo Bonneti & Dirk Broeders, 2018. "Pension Funds Interconnections and Herd Behavior," DNB Working Papers 612, Netherlands Central Bank, Research Department.
    14. Davide Lauria & Giorgio Consigli & Francesca Maggioni, 2022. "Optimal chance-constrained pension fund management through dynamic stochastic control," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(3), pages 967-1007, September.
    15. Chen, An & Uzelac, Filip, 2014. "A risk-based premium: What does it mean for DB plan sponsors?," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 1-11.
    16. Maria Teresa Medeiros Garcia & Liane Costa Gabriel, 2021. "Asset Liability Management: Evidence from the Banco de Portugal defined benefit pension fund," Working Papers REM 2021/0159, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

    More about this item

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    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:bas:econth:y:2009:i:2:p:19-34. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Diana Dimitrova (email available below). General contact details of provider: https://edirc.repec.org/data/ikbasbg.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.