Search

This paper presents a stochastic Markov chain model for estimating new entrants into professional orders and their related pension funds. The model considers the interactions between demographic, socio-economic and regulatory variables. The intuition behind it is that, in the medium term, trends in academic education can anticipate changes in the job market and preferences for highly skilled professions. Similarly, in the long term, fertility trends can anticipate the number of future young adults, thus influencing the overall occupational structure of employment. The model has been formalized mathematically and successfully validated by backtesting over historical data. The model’s predictions have been compared with the observed data of new entrants into the Italian order of chartered accountants (CNDCEC) between 2012 and 2021. The related professional pension fund (CNPADC) has also been analyzed under the additional assumption of stochastic returns with an evaluation of the impact of future new chartered accountants on its demographic and financial evolution between 2020 and 2070.

Досліджено основні види ризиків та їх вплив на систему солідарного рівня пенсійного забезпечення в Україні. Доведено, що демографічний ризик є одним із основних, що впливає на формування сучасних пенсійних систем. Через збільшення осіб пенсійного віку, збільшується демографічне навантаження на працююче покоління, а тому солідарна система не спроможна виконувати зобов’язання з формування достатнього рівня пенсій. Це призводить до номінального та реального скорочення пенсій. Суттєво впливає на солідарний рівень пенсійного забезпечення і економічний ризик, адже розвиток економіки у кожній країні є підґрунтям для формування заробітних плат, що, у свою чергу, також впливає на рівень пенсій. За низького рівня економічного зростання не відбувається збільшення реальних доходів працюючих, відповідно і пенсії залишаються низькими у солідарній системі пенсійного забезпечення. Ще одним із ризиків, що впливає на формування пенсійних систем, є політичний ризик, який зумовлюється факторами політичного характеру. Доведено, що у сукупності вказані ризики зумовлюють проблеми сучасної системи пенсійного забезпечення в Україні. Однією із найбільших – є низький рівень пенсій, що призвело до зубожіння значної кількості осіб, які втратили працездатність. Крім того, низький рівень наповнення власними доходами Пенсійного фонду України призводить до нездатності виконувати ним зобов’язання без підтримки коштів державного бюджету. Вирішення цих проблем можливе за умови формування багаторівневої системи пенсійного забезпечення, особливо накопичувальної її складової, що частково нівелює вплив даної сукупності ризиків солідарного рівня пенсійного забезпечення., The article investigates into the main types of risks and their impact on the system of solidarity level of pension provision in Ukraine. The demographic risk is proved to be one of the key factors affecting the formation of modern pension systems. The demographic burden on the working generation is growing due to an increase in the retirement age. Ttherefore, the solidarity system is unable to fulfil its obligations to form an adequate level of pensions that leads to a nominal and real pension reduction. The economic risk affects significantly the solidarity level of pension provision as well. The country’s economic development is the basis for the formation of wages, which in turn also affects the level of pensions. There is no increase in the employees’ real incomes due to the low level of economic growth. Pensions accordingly remain low in the solidarity pension system. The political risk posed by factors of a political nature is considered to be another risk affecting the formation of pension systems. It is proved that these risks collectively predetermine the problems of a modern pension system in Ukraine. The low level of pensions, which led to the impoverishment of a significant number of people who have lost their ability to work, is believed to be one of the biggest problems. Besides, the low level of filling with its own revenues is characteristic to the Pension Fund of Ukraine. Consequently, it is unable to fulfil its obligations without the support of state budget funds. Solving these problems is possible under condition of forming a multi-level system of pensions, especially its accumulative component. It will partly offset the impact of the above-mentioned risks on the solidarity level of pensions., Исследованы основные виды рисков и их влияние на систему солидарного уровня пенсионного обеспечения в Украине. Доказано, что демографический риск является одним из главных, который влияет на формирование современных пенсионных систем. Из-за увеличения лиц пенсионного возраста, увеличивается демографическая нагрузка на работающее поколение, поэтому солидарная система, не способна выполнять обязательства по формированию достаточного уровня пенсий. Это приводит к номинальному и реальному сокращениям пенсий. Существенно влияет на солидарный уровень пенсионного обеспечения и экономический риск, так как развитие экономики в каждой стране является основой для формирования заработных плат, в свою очередь, это также влияет на уровень пенсий. При низком уровне экономического роста не происходит увеличение реальных доходов работающих, соответственно, и пенсии остаются низкими в солидарной системе пенсионного обеспечения. Еще одним из рисков, который влияет на формирование пенсионных систем, является политический риск, что обусловлено факторами политического характера. Доказано, что, в совокупности, влияние указанных рисков обусловливают проблемы современной системы пенсионного обеспечения в Украине. Одной из крупнейших является низкий уровень пенсий, что привело к обнищанию значительного количества лиц, утративших трудоспособность; низкий уровень наполнения Пенсионного фонда Украины собственными доходами и его неспособность выполнить обязательства без поддержки средств государственного бюджета. Решение этих проблем возможно при условии формирования многоуровневой системы пенсионного обеспечения, особенно накопительной ее составляющей, что частично нивелирует влияние данной совокупности рисков солидарного уровня пенсионного обеспечения.

The Authors propose a personal pension product, consisting of a non-traditional profit sharing life insurance contract where the insured is allowed to share the profit of the pension’s invested funds all along the contract duration, that is from the issue time till the insured’s death. In its concrete realization, the idea comes true as a sequence of premiums characterized by a level cap, followed by the sequence of benefits characterized by a level floor. The two embedded options are inserted in the basic structure of a pension annuity. Due to the negligibility of the pooling effect in such kind of portfolios, the impact of the accidental demographic risk source is investigated.

Migration is one of the predominant phenomena in debating core issues of politics, economy, and society at the beginning of the 21st century. In order to understand the complexity of this phenomenon, it is necessary to investigate its main determinants that maintained from a historical perspective some of the characteristics from the beginning of the 20th century; however, at increased complexity, in the context of constant changes of geopolitical and economic regional configurations. The European enlargement towards the central and eastern part of the continent brought about also changes regarding increased demographic and economic risks in the absence of global migration governance, but also due to the frailty of national institutions in the field of migration and labor market. The paper intends to briefly enumerate main (macro)economic and demographic risks for Romania by underpinning the contribution of institutional factors to improving the management of this phenomenon at a national level.

Combining insurer’s profitability with products’ attractiveness in terms of marketing competitiveness is a critical issue within the risk/profit management of an insurance business. In particular life insurance products are characterized by the presence of financial and demographic risk sources, whose combined effect requires suitable management strategies. This paper deals with the impact of the load factor on life annuity portfolio performance from the insurers point of view. The aim is to build a performance indicator that clearly points out the role of the load factor in the performance making, giving to it a central role in the company management strategy. Such index is characterized by a simple mathematical structure and fits to the purpose: in fact it provides clear indications to the manager about the influence of the load factor on the performance of the life annuity business line.

The aim of this article is to define the Lithuanian public pension system reforms, influenced by the last economic crisis and social challenges (ageing processes, raising social expenses). The paper also investigates the influence that current demographic trends will exert on the financial dynamics of the pension system. Results reveal the long-term sustainability of the system, albeit at a cost of initial negative balances to be covered with public budget. Also, the system may expose pensioners to the risks of poverty and social exclusion because of low payments. It is then necessary to intensify the pension system's reform. Policy solutions should encourage and extend employment (especially for the disadvantaged) and rebuilt trust in both public and private pension systems.

In the paper by applying stochastic conditional calculations, formulas for measuring the contribution of each risk sources to the global riskiness connected to the fair valuation of mathematical provision are propose, being sure this can be an useful instrument for practitioners. In particular, formulas for the fair valuation of the mathematical provision in the case of a generic life insurance contract are introduced. Moreover two examples with survival and death benefits respectively are analysed.

Comunicação apresentada no VI Annual Meeting of REDGOB – Migration, Social Cohesion and Governability, em Lisboa, em Dezembro de 2008. The Portuguese Pension System is submitted to two risks. Over the period 2005-2050, a decrease of workforce and an increase of old-age persons are eminent, which provide for the doubling of the dependency rate. As a result the system is not financially sustainable in the medium and long terms and it is expected that the system will enter in a growing deficit in 2015, when expenditures will overcome its revenues. Hence, the system is subject to a demographic risk (associated with the reduction of the fertility rates, the augmentation of the life expectancy and the increase of the dependency rate) and to a financial insolvency risk (motivated by the lack of equatorial correspondence of expenditures and revenues). Immigration could be a solution to the unsustainability of Pension Systems. This paper examines the role of immigration on resolving these two risks. We investigate, based on the European Economy (2006) projections about the impact of ageing on the public expenditure for the period 2005-50, the required immigrant flows that maintain the old-age dependency rate observed in 2004 and we calculate also the number of immigrants required to promote a null result for the Portuguese Pension System. We conclude that the number of immigrants that guarantees a null financial result is much lower than one that eliminates the demographic risk. Still, compared with forecasts of the European Economy (2006), these figures are substantially higher and show an upward trend during the period under review, therefore, contrary to the expected trend announced by that European entity. (JEL: H55, J11, J26)

The paper focuses on the fair valuation of the stochastic reserve of a life policy portfolio. The method, presented for life annuities because of their particular importance in the life insurance market, substantially fits any kind of life policy portfolio. The quantitative approach starts from regulatory and managerial outlines aimed to indicate the reserve quantification as a mark-to-market valuation of the outstanding liabilities. Numerical examples clarify the valuation scheme, comparing the current values of projected cash-flows and the corresponding ones calculated at the contractual rate.

The recent wide developments and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the actual european directives about solvency assessment. The aim of the paper is to construct a methodology apt to incorporate properly the effect of the risk sources in calculating mathematical provisions related to a portfolio of insurance policies.

Aim of the paper is the anlysis of riskiness in life insurance business by means of quantitative methodologies flexible for entrapreunerial applications. The study focuses on deferred life annuity portfolios, providingrisk indexes; however the results and the methodological approach presented can be framed in a wider perspective, where actuarial methodologies and business administration schemes sinergically investigate the insurance business scenarios.

The paper addresses the question of the calculation of the current value of the mathematical provision and moulds it in a deterministic and stochastic scenario, using a proper term structure of interest rates estimated by means of a Cox-Ingersoll-Ross model. It provides a complete and original year-by-year evaluation model for the business performance, and a closed solution for the current evaluation of the reserve, together with a comprehensive insight into the dynamics of the reserve connected to the selection of a defined term structure of interest rates. Moreover, the calculation of the VaR of the mathematical provision is prospected as risk measure useful to appreciate also the evaluation rate risk. Future research prospects concern the selection of the stochastic process used to describe the dynamics of the interest rates and the possible managerial and regulatory application of a VaR measure. The modelling has been applied, as an exemplification, to a life annuity portfolio but it can be easily replicated for any kind of policy and any kind of portfolios even non homogeneous.

This paper deals with demographic risk analysis in Enhanced Pensions, i.e., long-term care (LTC) insurance cover for the retired. Both disability and longevity risks affect such cover. Specifically, we concentrate on the risk of systematic deviations between projected and realised mortality and disability, adopting a multiple scenario approach. To this purpose we study the behaviour of the random risk reserve. Moreover, we analyse the effect of demographic risk on risk-based capital requirements, explaining how they can be reduced through either safety loading or capital allocation strategies. A profit analysis is also considered.