ANALYSIS OF THE RANDOM MODEL OF THE ATUARIAL LIABILITIES OF A PENSION FUND / ANÁLISE DO MODELO ESTOCÁSTICO DO PASSIVO ATUARIAL DE UM FUNDO DE PENSÃO

AUTOR(ES)

CLEIDE BARBOSA DA ROCHA

DATA DE PUBLICAÇÃO

2001

RESUMO

A pension fund has to match the porfolio of liabilities with the portfolio of assets to achieve equilibrium in the long term. Analysing the dynamics of pension liabilities is an instrument key for the construction of Asset Liability Management Models (ALM)for pension funds. The objective of the study is to present a sthocastic model of the liability portfolio of a pension fund from the point of view of the variability of three risk parameters used in the calculate of those liabilities: salary increase, inflation and expense rate. In the long term, the objetive is to develop an integrated policy for assets and liabilities in a pension fund.

ASSUNTO(S)

pension funds fundos de pensao

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