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

Author

Listed:
  • 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..

Suggested Citation

  • Solange Berstein & Olga Fuentes & Nicolás Torrealba, 2010. "Sistema de Pensiones de Capitalización Individual: ¿Cómo Mitigar Riesgos?," Working Papers 35, Superintendencia de Pensiones, revised Feb 2010.
  • Handle: RePEc:sdp:sdpwps:35
    as

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    File URL: http://www.spensiones.cl/redirect/files/doctrab/DT00035.pdf
    File Function: Revised version, 2010
    Download Restriction: no

    References listed on IDEAS

    as
    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. 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.
    3. 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.
    4. 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.
    5. Solange M. Berstein & Rómulo A. Chumacero, 2012. "VaR limits for pension funds: an evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1315-1324, May.
    6. Francisco Pino & Solange Berstein & Guillermo Larraín, 2006. "Chilean Pension Reform: Coverage Facts and Policy Alternatives," ECONOMIA JOURNAL, THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION - LACEA, vol. 0(Spring 20), pages 227-279, January.
    Full references (including those not matched with items on IDEAS)

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