The last ten years of the 20 century was the decade of pension reforms in Central and Eastern European countries. A three-pillar pension system has been adopted in most of that countries, including Poland, where the second pillar is created by open pension funds (OFEs), managed by pension fund companies (PTEs). The aim of this article is to identify and analyze barriers to the increased effecti...

For larger defined benefit pension plans variability in funding levels and contribution rates arises primarily from variability in real investment returns relative to salary growth. Recent work by Dufresne (1988, 1989, 1990) and Haberman (1994) has shown how this uncertainty can be reduced by chosing an appropriate amortization strategy. In the present paper we first consider to what extent the...

This paper studies the optimal investment choices and benefit adjustment strategy for a target plan (TBP) with stochastic mortality force. The pension fund is invested in risk-free asset, stock, longevity-linked as derivative of Using control approach, we obtain closed-form solutions portfolio financial market or without which minimize combination gap from level plan's discontinuity risk. Numer...

With the present analysis the authors propose an approach for determining an adequate discount rate in environmental management problems, more specifically radioactive waste management. It is shown that the classical Black-Scholes pricing formula can be used for determining the adequate present funding to be set aside for the future. The average funding is equal to the net present value (NPV) o...

This paper studies an asset and liability management problem with extended Cox-Ingersoll-Ross (CIR) interest rate, where the financial market is composed of one risk-free asset and multiple risky assets and one zero-coupon bond. We assume that risk-free interest rate is driven by extended CIR interest rate model, while liability is modeled by Brownian motion with drift and is generally correlat...

In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, a member of the pension plan is given a possibility to switch periodically between m types of the funds with different risk profile and so actively manage her risk exposure and expected return. Minimization the multi-period...

We study how organizational complexity affects managerial behavior, breaking it down into vertical hierarchy and degree of specialization. We exploit a novel dataset on the organizational structure of the US asset management industry. We show that more hierarchical structures reduce the incentive to collect soft information by investing less in closely-located firms. This reduces portfolio conc...