International Conference «Mathematical and Informational Technologies, MIT-2011»
(IX Conference «Computational and Informational Technologies for Science,
Engineering and Education»)

Vrnjacka Banja, Serbia, August, 27–31, 2011

Budva, Montenegro, August, 31 – September, 5, 2011

Popovic Z.  

Mathematical modelling of pension fund reserves

The functioning of pension funds with an advance defined compensation of a policyholder is based on the strict regulations. The payments of all promised pension compensations are made on the basis of reserves, i.e. the mathematical reserves of pension funds, the size of which primarily dependes on the relationship between pension fund\'s assets and liabilities. The problem of managing pension fund\'s assets and liabilities represents a dynamic decison made in a range of uncertain parameters. In order to secure the balance of assets and liabilities, i.e. consistancy of mathematical reserves of pension funds, mo dern techniques and processes based on stochastic modelling must be included. The paper examines an interpretation of the Assets Liability Matching model for securing and controlling mathematical reserves of pension funds. The limitations of the ALM model stem from the regulations and the structure of pension fund\'s assets and liabilities.

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