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Essays on strategic asset allocation and risk management of pension funds

Editor

Listed:
  • El Mekkaoui de Freitas, Najat

Author

Listed:
  • Lemoine, Killian

Abstract

Since ten years, an increasing proportion of pension funds faces to severe financial difficulties, addressing some questions about the management of these institutions and the effectiveness of the regulatory framework. This thesis aims to analyze the investment decisions and financial risk management made by the pension fund defined benefit and assimilated institutions, in order to address some advances for the regulation purpose. First, we address the question of the pension funds management by analyzing the implications of the managerial control problem. Our analysis suggests that the efficient management may require an optimal splitting of control rights between plan participants and the sponsoring company. We then show how this splitting of right controls can affects investment decisions in pension funds. Second, we analyze the implications of financial cycles for pension fund management. Our results suggest that the regulatory framework produces large pro-cyclical, including regime-dependent capital requirement and regime-dependent investment decisions. Finally, we analyze how the structural change in mortality affect the risk and the risk management of pension funds

Suggested Citation

  • Lemoine, Killian, 2013. "Essays on strategic asset allocation and risk management of pension funds," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14678 edited by El Mekkaoui de Freitas, Najat, March.
  • Handle: RePEc:dau:thesis:123456789/14678
    Note: dissertation
    as

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    More about this item

    Keywords

    Risque de longévité; Modèle à changement de régime markovien; Économétrie non-linéaire; Gestion actif-passif; Gestion des risques; Décisions d'investissement; Fonds de pension;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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