In order to apply asset-liabilitymanagement techniques to property-liability insurers, the sensitivity of liabilities to interest rate changes, or duration, must be calculated. The current approach is to use the Macaulay or modified duration calculations, both of which presume that the cash flows are invariant with respect to interest rate changes. Based on the structure of liabilities for prop...

Abstract Is the trust that participants have in their pension fund affected by its funding ratio (i.e., asset/liabilities ratio)? Based on survey, carried out October 2021, among Dutch we link our survey data to of as registered regulator. First, show level is positively associated with participants. Pension funds large buffers are a high trust. Second, sub-group analyses younger weakly related...

This paper applies dynamic programming principle and Legendre transform to study a dynamic asset allocation problem with liability process and stochastic interest rate model, where interest rate is assumed to be driven by the Ho-Lee model or the Vasicek model. By using variable change technique, we obtain the closed-form solutions to the optimal investment strategies in the quadratic utility fr...

The Chilean Electronic Market for Annuities was created in 2004 in order to correct several malfunctions of the market for annuities. The Chilean Pension System is composed of two phases. On the accumulation phase, savings are collected and managed by asset managers. The payout phase consists in pension payments mainly in the form of annuities and programmed withdrawals. The market for annuitie...

China’s pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from 2004 to 2012 to research the stocks’ investment efficiency, distinguishing between direct investment b...