186,464 research outputs found
Jacques-Albert Cuttat, La rencontre des religions, avec une étude sur la spiritualité de l'Orient chrétien
No full textDevolder P. D. Jacques-Albert Cuttat, La rencontre des religions, avec une étude sur la spiritualité de l'Orient chrétien. In: Revue Philosophique de Louvain. Troisième série, tome 56, n°52, 1958. pp. 671-672
Les enjeux et les perspectives de la pension à points à la lumière de l'expérience belge : Réflexions à l'échelle européenne autours des défis de protection des travailleurs atypiques ou connaissant des carrières mixtes
No full textEn 2014, la Commission belge de réforme des pensions 2020-2040 a proposé une réforme structurelle des trois régimes de pensions légales; c’est-à-dire le régime des travailleurs salariés, des travailleurs indépendants et des
fonctionnaires. L’idée de la réforme était de remplacer le système traditionnel par répartition en prestations définies par un régime à points, dans le but de « dépasser l’opposition classique entre prestations définies et contributions définies ». Malgré les diverses critiques qui ont été formulées à son encontre, le concept de retraite à points rejoint une perspective de garantie universelle pour les travailleurs – proposée par l’Organisation internationale du travail (OIT) – où la sécurité sociale s’adapte aux évolutions du monde du travail et de la société en étant capable de faire face aux incertitudes économiques et démographiques
Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system
No full textSince the mid 1990s some European countries (including Italy) implemented a Notional Defined Contribution (NDC) pension system. Such a system is based on pay-as-you-go funding, while the pension amount is a function of the individual lifelong contribution. Despite many appealing features, the NDC system presents some drawbacks: first, it is vulnerable to demographic and economic shocks compromising the financial sustainability; second, it could fail to guarantee adequate pension benefits to pensioners. In order to reduce the first limit, automatic balance mechanisms (ABMs) have been proposed in literature and also implemented in Sweden, while solutions that combine financial sustainability and social adequacy have been applied only in a pay-as-you-go point system. The aim of this paper is to insert into the Italian NDC architecture ABMs that preserve social adequacy under financial sustainability constraints. Godinez-Olivares et al. (Insur Math Econ 69:117–126, 2016) built ABMs for a Defined Benefit pension system using nonlinear optimization techniques to calculate the optimal paths of the control variables representing the main drivers of the system: contribution rate, retirement age and indexation of pensions. Following this line of research, we have developed a nonlinear optimization model for the Italian NDC system based on three control variables: pensions indexation, notional rate and contribution rate. The objective function considers both social adequacy and contribution rate sustainability, under liquidity and sustainability constraints. In the numerical application we apply the model to the Italian pension system and test the sensitivity of the results to different economic scenarios and objective function parameters
Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework
No full textThis paper addresses the financing of public pensions in a stochastic environment. Traditionally, funded and unfunded pension schemes have been viewed as opposite solutions for the first pillar of public pensions. However, more recently countries as Sweden and Poland have explored mixed solutions that combine pay-as-you-go (PAYG) with funding mechanisms. The aims of this paper are to examine the rationality of such a combination using portfolio theory arguments and to find the optimal split of the contributions between the two systems. We first introduce the classical deterministic model leading to the well-known Samuelson–Aaron rule according to which diversification is never optimal. We then introduce different stochastic models in which the main processes (wage growth, population growth, financial rate of return) are random. In particular, we obtain conditions on parameters to justify diversification and explicit optimal sharing between PAYG and funding. We also introduce the possibility of investing in several financial assets and explore the impact of introducing systematic longevity risk
Basic Stochastic Processes
No full textThis book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other. From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be presented. The authors also present basic concepts so that this series is relatively self-contained for the main audience formed by actuaries and particularly with ERM (enterprise risk management) certificates, insurance risk managers, students in Master in mathematics or economics and people involved in Solvency II for insurance companies and in Basel II and III for banks
Stochastic methods for Pension Funds
No full textQuantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for the next decades in the context of the well-known longevity risk. Surprisingly few books are devoted to application of modern stochastic calculus to pension analysis. The aim of this book is to fill this gap and to show how recent methods of stochastic finance can be useful for to the risk management of pension funds. Methods of optimal control will be especially developed and applied to fundamental problems such as the optimal asset allocation of the fund or the cost spreading of a pension scheme. In these various problems, financial as well as demographic risks will be addressed and modelled
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