Pension Fund

This paper argues that pension funds can earn attractive risk-adjusted rates of return on targeted real estate investment in underserved capital markets. Targeted investing is designed to achieve both a financial and social return. Fiduciary duty requires public sector pension funds to put financial obligations at the forefront of their decision-making. However these funds also have a vested interest in ensuring vibrant, healthy communities that in turn underpin employer contributions to the fund. We examine the California Urban Real Estate (CURE) program of the California Public Employees Retirement System (CalPERS) as a model of targeted real estate investment in urban and underserved capital markets. From this case study we draw some implications for best practice in targeted investment.

In this paper we analyze the monitoring role of occupational pension funds in the UK. We argue that because of their objectives, structure and overall share holding, occupational pension funds are likely to have more incentives to monitor companies in which they hold large stakes than other financial institutions. By comparing companies in which these funds hold large stakes with a control group of companies listed on the London Stock Exchange, we show that occupational pension funds hold large stakes over a long-time period mainly in small companies. However, the value added by these funds is negligible and their holdings do not lead companies to comply with the Code of Best Practice or outperform their industry counterparts. Overall, our results suggest that occupational pension funds are not effective monitors.

Objective – The aim of the article is to present the development of a simulation framework which identifies Malaysia Pension Fund main sources as well as the financial activities.
Methodology/Technique – Numerous factors influencing the financial condition pension fund is summarized. Based on the set of system factors in literature summarization, causal loop diagram is used to analyse the inter-relationships among these factors.
Findings – Causal loop diagram shows a relationship between these factors, which can be used in analysing financial condition of a pension fund. In the developed causal loop diagram, it shows the main sources of Malaysia pension fund, the asset allocation, and the future benefit payment.
Novelty – The causal loop diagram will then, be used as a dynamic hypothesis of this study and serves as a basis for quantitative models.

The study aims to explore the real status of investments portfolio structure of both life and non-life insurance companies of Nepal. Insurance Board of Nepal has issued modified directives for the safe and secure investments of Insurance fund The paper examines the current investment practices adopted by the insurance companies and compare with the norms of directives. Most of the companies have invested more than required fund in secured sector giving priority to solvency over profitability. Among the 234 cases, 37 cases are non-compliances whereas 197 cases are compliances. Out of 37 noncompliance cases, 28 cases are more sensitive. Life insurers fail to comply the statutory provision in 5 cases and non-life in 23 cases. However, in voluntary category, 1 and 8 cases are not complied by the life and non-life insurers respectively. Overall scenario of the investments portfolio is satisfactory ignoring few cases.

All of Zambia's pension schemes are deficient in design, financing, and administration. This report urges that Zambia restructure its social protection system to complement its new economic strategy. That restructuring must address such basic problems as macroeconomic fluctuations and an unstable financial sector; high inflation rates and politically-motivated low-yield investments and loans; income ceilings irregularly adjusted for inflation; overgenerous public sector pension benefits; and inadequate management of pension fund operations. In the short and medium term, the objectives should be to settle outstanding pension claims, revise early retirement provisions and investment policies, and improve capabilities for administering statutory pension funds. In the long term the objectives should be to convert the Zambia National Provident Fund (ZNPF) into a modest basic pension scheme for private sector employees, and subsequently integrate civil servants and public sector empl...

The reform of the liberal professions-initiated measures, controversies and restrictions Maria Alexandru / 27 The interest rate-factor that determines investment in saving instruments Magdalena Călin / 32 Fiscal policy and real convergence. The case of central and eastern european countries Delia Ţâţu, Lucian Ţâţu / 36 Analyzing the public debt sustainability in EMU Emilia Mioara Câmpeanu / 43 Correlations between fiscal policy and macroeconomic indicators in Romania Iulian Braşoveanu, Laura Obreja Braşoveanu, Cristian Păun / 51 Analyzing causality between Romania's public budget expenditures and revenues Andreea Stoian / 60 Tax evasion: an analysis of the collocation "pay with money, not with years" Delia Cataramă / 65 Regional development program. Present state of ISPA program and perspectives for Romania Daniela Călinescu / 72 Romanian Budgetary Cosolidation between European and local Attila György, Adina-Cristina György / 79 Some aspects regarding the administrative absorption capacity for the structural funds in the czech republic, Estonia, Hungary, Slovakia, Slovenia and Romania before accession Oana Lahman / 85 Financial and monetary policies in European Union 4 4 Recovery ratings in the event of sovereign default issuers. an investigation on the factors which influence their calculation by Standard & Poor's Emilian Miricescu / 93 Public investments, determinants of economic development Andreea Semenescu / 100 Structural funds-an instrument of economic growth within the policies of cohesion and regional convergence Meral Kagitci / 107 United Europe and its problems Dan Ivănescu / 111 The governmental policies that encourage the positive contributions of the foreign direct investments inflows Mihail Vincenţiu Ivan, Viorela Iacovoiu / 115 Analysis regarding the Israeli pension funds system Mariana Popa, Paul Tănăsescu / 124 Risk transfer through insurance contract-part of business risk management Doina Popescu / 134 Protection against natural catastrophes in Romania Marius Gavriletea, Krisztina Kiraly / 138 The mandatory private pensions. A european challenge for Romania Cosmin Şerbănescu / 145 The development of the financial risks reinsurance activity from the single european market perspective Mihaela Cojocaru / 150 Econometrical models for estimating the life insurance demand Simona Dragoş, Cristian Dragoş / 157 A model for generating efficient investment portfolios for the insurance companies on the Romanian market Filip Iorgulescu / 166 The portofolio administering at the isurance companies by A.P.T. multifactorial model Mitică Pepi / 173 Asymmetry in the stochastic volatility models Bogdan Negrea, Elena Bojesteanu / 180 Episodic dependencies and the profitability of moving average strategy on Romanian capital market Alexandru Todea / 186 Value-at-risk. Measurement and evaluation methods for market risk Alina Grigore / 194 Contents 5 5 Stochastic volatility models and stylized facts Ionuţ Alin Sima / 203 The impact of financial statements announcements on stock prices at BSE Adrian Zoicaş-Ienciu / 211 Multiples and their use for equity valuation on european capital markets Dragoş Ioan Mînjină / 220 Quantitative analysis of banks' management performance Nicolae Dardac, Iustina Alina Boitan / 229 The impact of mergers and acquisitions on the economic performances Teodora Barbu, Bogdan Dumitrescu / 236 Banking crises and their implications on the financial system Carmen Obreja, Dan Ştefan Armeanu / 244 Monetary policy transmission mechanism in romania-a VAR approach Marius Alin Andrieş / 250 Price and wage inflation Alina Lucia Trifan / 261 NBR monetary policy interest rate: determinants and optimum level Gabriel Bistriceanu / 268 The relationship between the exchange rate and the inflation: empirical survey for Romania Cătălina Adriana Hândoreanu / 276 Interest rate risk quantification models Ana-Cornelia Puiu, Alina Nicoleta Radu / 285 The influence of R&D policy on performance of the companies listed with bucharest stock exchange (through intangible assets) Iuliana-Ioana Purcărea, Ion Stancu / 293 Corporate competitiveness in the context of consolidating the common tax base regarding profit taxation in the European Union Georgeta Vintilă, Oana Filipescu / 299 Capital effectiveness valuation destined to investments in conditions of uncertainty Dalina Dumitrescu / 308 The impact of the country rating on the corporate rating: empirical perspective in the context of financial globalization Cristina Maria Triandafil, Petre Brezeanu / 316 Micro and macroeconomic determinants of oil stock prices on Romanian capital market

This thesis provides empirical evidence on financial skills and the relation with household financial decision-making based upon specially designed questions for the DNB Household Survey (DHS). The majority of the respondents has some grasp of concepts such as interest compounding, inflation, and the time value of money. However, very few go beyond these basic concepts; many households do not know

The purpose of this study is to create a detailed account of what Latin American pension funds have meant to the financing of infrastructures, with the purpose of serving as a basis for reflection regarding potential improvements to optimize the portfolios of pension funds and accomplish a greater contribution of retirement savings to the development of countries. The involvement of pension funds in infrastructure is a recommended strategy for managed portfolios based on the criteria establishing that they should be an attractive investment for future pensions, and thus must reach an adequate balance between return and risk. Likewise, given the importance of infrastructure in development, we see that a more significant involvement of pension funds also constitutes a desirable goal because it implies not only greater private benefits for owners of retirement savings (affiliates), but also for society as a whole. In order to perform a complete analysis, we study the evolution and traditional forms of participation in the financing of infrastructure, identifying strengths as well as weaknesses to be corrected. Existing processes are also described, which have assisted to a greater or lesser extent in the involvement of the private sector through concession laws in these countries. Finally, we discuss the different tools that the current systems depend on which allow the involvement of pension funds, as well as how these processes have been carried out up to this moment and the opportunities foreseen.

This paper inquires into the forces that drive the practice of risk management at defined benefit (DB) pension funds in Germany, Netherlands, United Kingdom and the United States in the aftermath of the perfect pension storm. First, pension funds' risk management is grounded in the context of the development of modern risk management in the financial industry more general. Second, focusing solely on single-employer sponsored DB pension funds this research critically examines the impact of recent changes in the regulatory and accounting environment for pension funds and their sponsors thereby explicitly taking into account the specific governance context in which pension funds are situated. The aim of this research is, first, to provide a better understanding of the investment risk management of DB pension funds thereby contributing to the theory of financial decision-making. Second, by conducting this analysis on a cross-country basis, this research aims at contributing to the comparative analysis of pension funds. This paper argues that the risk-taking capacity is a central element of DB pension funds. The empirical results suggest that in general risk management has become much more sophisticated but that it is often driven more by regulatory and accounting issues than by the pension fund's specific risk profile. Furthermore, changes to the regulatory and accounting standards increasingly impede the risk-taking capacity of DB pension funds. This research draws on in-depth interviews with market participants within the pension fund industry and their advisers.

The call for enhanced financial literacy amongst consumers is a global phenomenon, driven by the growing complexity of financial markets and products, and government concerns about the affordability of supporting an ageing population. Worldwide, defined benefit pensions are giving way to the risk and uncertainty of defined contribution superannuation/pension funds where fund members now make choices and decisions that were once made on their behalf. An important prerequisite for informed financial decision-making is adequate financial knowledge and skills to make competent investment decisions. This paper reports the findings of an online survey of the members of a large Australian public sector-based superannuation fund and shows that although respondents generally understand basic financial matters, on average, their understanding of investments concepts, such as the relationship between risk and returns, is inadequate. These results highlight the need for education programs focusing specifically on developing fund members’ investment knowledge and skills to facilitate informed retirement savings decisions.

Prior research suggests that the funding and asset allocation decisions for defined benefit pension plans may be based on tax, risk, and profitability factors. Much of the previous empirical work, however, suffers from statistical problems that may produce misleading or contradictory results. We employ a confirmatory factor analytic model to address the statistical problems plaguing pension research. Various competing hypotheses are tested simultaneously. Findings indicate that firms use pensions to offset business risk.

This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we show that mean reversion makes stocks less risky for investors with long investment horizons. Next, we consider a mean-variance efficient investor and show how mean reversion in stock prices affects such an investor's optimal portfolio weights. Finally, we discuss the implications of our findings for the investment decisions of long-term investors.

Multistage stochastic programming -in contrast to stochastic control -has found wide application in the formulation and solution of financial problems characterized by a large number of state variables and a generally low number of possible decision stages. The literature on the use of multistage recourse modelling to formalize complex portfolio optimization problems dates back to the early seventies, when the technique was first adopted to solve a fixed income security portfolio problem. We present here the CALM model, which has been designed to deal with uncertainty affecting both assets (in either the portfolio or the market) and liabilities (in the form of scenario dependent payments or borrowing costs). We consider as an instance a pension fund problem in which portfolio rebalancing is allowed over a long-term horizon at discrete time points and where liabilities refer to five different classes of pension contracts. The portfolio manager, given an initial wealth, seeks the maximization of terminal wealth at the horizon, with investment returns modelled as discrete state random vectors. Decision vectors represent possible investments in the market and holding or selling assets in the portfolio, as well as borrowing decisions from a credit line or deposits with a bank. Computational results are presented for a set of 10-stage portfolio problems using different solution methods and libraries (OSL, CPLEX, OB1). The portfolio problem, with an underlying vector data process which allows up to 2688 realizations at the 10-year horizon, is solved on an IBM RS6000͞590 for a set of twenty-four large-scale test problems using the simplex and barrier methods provided by CPLEX (the latter for either linear or quadratic objective), the predictor͞corrector interior point method provided in OB1, the simplex method of OSL, the MSLiP-OSL code instantiating nested Benders decomposition with subproblem solution using OSL simplex, and the current version of MSLiP.

Longevity risk arising from uncertain mortality improvement is one of the major risks facing annuity providers and pension funds. In this paper we show how applying trend models from non-life claims reserving to age-period-cohort mortality trends provides new insight in estimating mortality improvement and quantifying its uncertainty. Age, period, and cohort trends are modelled with distinct eects for each age, calendar year, and birth year in a generalized linear models framework. The eects are distinct in the sense that they are not conjoined with age coecients, borrowing from regression terminology, we denote them as main eects. Mortality models in this framework for age-period, age-cohort, and age-period-cohort eects are assessed using national population mortality data from Norway and Australia to show the relative signicance of cohort eects as compared to period eects. Results are compared with the traditional Lee-Carter model. The bilinear period eect in the Lee-Carter model is shown to resemble a main cohort eect in these trend models. However the approach avoids the limitations of the Lee-Carter model when forecasting with the age-cohort trend model. (1992). Subsequent GLM formulations were developed by Brouhns et al. (2002) and . The Lee-Carter family of models has also been extended by many authors to capture additional features in the data. The most commonly included feature is a cohort eect although there are many models accounting for dierent age, cohort and period eects. These are summarized and compared in Cairns et al. . Cohort eects are usually added after improvement trends are modelled using period eects. However, since these improvement trends clearly dier across ages, the period eects are modelled with a bilinear term in age and time. The introduction of these cohort eects confounds the period eects in these models. The precise denition of a cohort eect is a topic of discussion (e.g. and Murphy ). One of the aims of this paper is to clearly show the importance of main cohort eects and to demonstrate the relationship between these and bilinear terms where period eects vary by age.

This article uses Data Envelopment Analysis (DEA) to evaluate the performance of Portuguese pension funds management companies from 1994 to 2003, combining operational and financial variables. We evaluate how close the pension funds management companies are to the best practices frontier, also analyzing how they manage their funds. Implications of this research for managerial purposes are then drawn.

As Germany enters the 21st century, the traditional system of corporate governance, often referred to as “Deutschland AG”, has come under intense pressure to change. This report seeks to analyze the recent dynamics of the system to assess the extent to which they have already led to an erosion of the traditional characteristics. Many of the distinct features of the

Most countries have separate pension plan for public sector employees. The future fiscal burden of these plans can be substantial as the government usually is the largest employer, pension promises in the public sector tend to be relatively generous, and future payments have to be paid out directly from government revenues (pay-as-you-go) or by funded plans (pension funds) which tend to be underfunded. The valuation and disclosure of these promises in some countries lacks transparency, which may be hiding potentially huge fiscal liabilities that are being passed on to future generations of workers.In order to arrive at a fair comparison between countries regarding the fiscal burden of their DB public sector pension plans, this paper gathers more evidence on public sector pension plans regarding the type of pension promise and quantifies the future tax burden related to these pension promises. The reported liabilities are recalculated using both a fair value approach (local market di...

Despite the fact that China is already one of the most important economies in the world, the country has many big tasks to solve, being one of them the implementation of a comprehensive social agenda, including those related with the old-age stage and the ...

We study the determinants and consequences of compensation-related activism using a sample of 134 vote-no campaigns and 1,198 shareholder proposals related to executive pay between 1997 and 2007. The frequency of compensation-related shareholder proposals and voteno campaigns has increased substantially after 2002, fueled by greater union pension fund activism and growing investor concerns with executive pay. Shareholders target firms with abnormally high CEO pay and lend greater voting support to proposals in such firms, suggesting a sophisticated understanding of CEO pay figures. Voting shareholders do not support proposals that try to micromanage CEO pay and instead favor proposals related to the pay setting process. The greater voting support for these proposals translates to higher implementation rates by targeted firms. Finally, there is a $7.3 million reduction in total CEO pay for firms with abnormally high CEO pay that are targeted by compensation-related vote-no campaigns. The reduction in CEO pay is $2.3 million in firms targeted by proposals sponsored by institutional proponents and calling for greater link between pay and performance. Our findings inform the current debate on the adoption of a "say on pay" shareholder vote on executive pay.

As Germany enters the 21st century, the traditional system of corporate governance, often referred to as “Deutschland AG”, has come under intense pressure to change. This report seeks to analyze the recent dynamics of the system to assess the extent to which they have already led to an erosion of the traditional characteristics. Many of the distinct features of the German system have shown strong resilience despite the pressure for change, while other features seem to have unraveled quickly. The areas in which these changes appeared to have emerged most profoundly and quickly are in the role of banks and in the role of financial markets. Germany is often cited as a classical case of “non-shareholder value orientation”, whose production-oriented, long-term, risk adverse and consensus-driven values have often been contrasted with the “Anglo-Saxon ” approach. The forces currently driving the German political economy towards a shareholder-value orientation can be summarized as follows: ...

In 1997 Mexico introduced Personal Retirement Accounts (PRAs) which, after a transition phase, will completely replace the pay-as-you-go (PAYG) system. We give a detailed overview of the relevant institutional framework, the market of PRA providers and how it has evolved since the 1997 reform. We use administrative data obtained from CONSAR, the regulatory agency of the PRA system to assess how pension fund management fees affect pension accumulations. We find that fees can drain up to a quarter of individuals' pension savings.

This paper provides a stylised assessment of the impact of investment-relevant pension fund regulations and accounting rules on contribution and investment strategies within the context of an asset-liability model (ALM) specifically designed for this purpose. The analysis identifies a substantial impact of regulations which, in a simplified way, resemble those in place in Germany, Japan, the Netherlands, United Kingdom and

This study examines the liability hedging characteristics of both direct and indirect real estate with the advent of fair value accounting obligations for pension funds. We explicitly model pension obligations as being subject to interest and inflation risk to analyze the ability of real estate investments in hedging the fair value of pension liabilities and to quantify its role in an asset liability management (ALM) portfolio. We find that the portfolio composition differs depending on the definition of liability return. When liability returns solely follow actuarial changes, the mean-variance efficient portfolio allocations toward direct real estate and fixed income decrease compared to the asset-only optimization. When accounting for nominal liability obligations, real estate offers hedging benefits against interest rates for short holding periods but not for long-term institutional portfolios. The inclusion of inflation risk renders a limited role for direct real estate in an ALM portfolio, while indirect real estate obtains no allocation. Inflation is at the heart of the discrepancy between reported and predicted pension plan allocations. Once accounting for inflation, the projected allocations come close to reported ones. *

We examine the use of second-order stochastic dominance as both a technique for constructing portfolios and also as a way to measure performance. As a preference-free technique second-order stochastic dominance will suit any risk-averse investor, and it does not require normally distributed returns. Using in-sample data, we construct portfolios such that their second-order stochastic dominance over a benchmark is most probable. The empirical results based on 21 years of daily data suggest that this portfolio choice technique significantly outperforms the benchmark out-of-sample. Moreover, its performance is typically better -and frequently much better -than several alternative portfolio-choice approaches using equal weights, mean-variance optimization, or minimum-variance methods.

We examine shareholder initiated social policy proposals' capacity to exert pressure on management to force it to adopt the suggested changes in policy. We show that social proposals, filed under the US Securities and Exchange Commission's Rule 14a-8, have a more limited capacity ...

Deterministic lifestyling (the gradual switch from equities to bonds according to preset rules) is a popular asset allocation strategy during the accumulation phase of defined contribution pension plans and is designed to protect the pension fund from a catastrophic fall in the stock market just prior to retirement. We show that this strategy, although easy to understand and implement, can be highly suboptimal, since it does not take into account either the degree of risk aversion or the correlation over time between the plan member's salary and the stock market. It is dominated by a dynamic asset allocation strategy, which we call stochastic lifestyling, that does take these factors into account. It is even dominated by a static asset allocation strategy taking these factors into account.

Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990-2008, and we test the role of each factor in explaining their returns. Our results shed new light on pension funds' sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results significantly. Although active management plays a minor role in global asset allocation, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active management as a source of performance for pension funds, at least at the asset class level. JEL Classifications: E31; G11; G23

This paper analyzes the acceptance of Integrated Marketing Communication in the Turkish marketplace and the development of marketing communications in Turkey. As the theoretical basis for a research study strategic communications and newly developing pension firms were studied. A questionnaire was developed to elicit responses on Integrated Marketing communication perception and practices in marketing communication field. The quantitative analysis findings of our research will contribute to the efforts for finding a common ground ...

SUMMARYThis study examines the consequences of a pension fund investing in the stock of the sponsoring firm. Using a merger of data on pension asset holdings from IRS Form 5500 filings and financial data on the company's stock from CRSP, two broad questions are addressed: first, what factors influence the extent of a pension fund's investments in the employer's stock? Second, when a pension invests in the employer's stock, how much is lost as a result of poor diversification? The empirical results suggest that investments in employer stock are responsive to non-diversification costs, tax consequences, and the employee's ability to absorb risk. There is also evidence that employers and employees weight these factors differentially in their decision of how much employer stock to include in the pension. Using actual return data on pension plans, we also find that concentrated investments in employer stock substantially reduce risk-adjusted return performance. Howeve...

A signifi cant ageing trend can be observed in Europe and in other parts of the world. Fertility is decreasing and life expectancy increasing. The impact of migration is growing. The book deals with the implications for fi nancial markets of these demographic trends. Leading economists and fi nancial experts from Europe and the United States evaluate the challenges to public pension systems and the private pension industry. Based on long-term projections of productivity and employment they look at potential growth in GDP per capita and implications for savings and wealth. Pension fund portfolio management is discussed together with the ability of capital markets to serve retirement-fi nancing purposes. Fiscal as well as fi nancial sustainability are analysed in depth. The roles of global imbalances and international capital movements are included. Most chapters also discuss policy implications-in particular with regard to how pension saving incentives and rules and incentives for retirement should be in order to ensure fi scal and fi nancial sustainability. All contributions in the book are based on presentations at the 26th SUERF Colloquium on Money, Finance and Demography-the Consequences of Ageing held on 12-14 October, 2006 in Lisbon sponsored by Banco de Portugal and Millennium bcp and in cooperation with the

A new economic geography of finance is emerging, and the current “financialization” of contemporary economies has contributed greatly to the reshaping of the economic landscape. How can these changes be understood and interpreted, especially from a territorial point of view? There are two contradictory economic theories regarding the tangible effects of the rise of the finance industry. According to neoclassical financial theorists, the finance industry's success is based on its positive effects on the real economy through its capacity to allocate financial resources efficiently. An alternative approach, adopted here, posits that finance does not merely mirror the real economy and that the financial economy, far from being a simple instrument for the allocation of capital, has its own autonomy, its own logic of development and expansion. A series of complex, and sometimes contradictory, connections link financial markets and the real economy, and there are some tensions between them, calling into question the coherence of the regional and national economies that follow from them. Moreover, the territorial approach shows how the mobility/liquidity of capital and the changing dimensions of new regions and countries are central to the finance industry's functioning. This article builds an understanding of the financial system through the lens of pension funds and highlights the impact of such a system on the real economy and its geography.

This research study has various objectives. First, to highlight the importance of investment in infrastructure on economic growth. Second, to underscore the need for a competitive and transparent process to implement these investments, which must be aimed at efficiency and obtaining a proper balance between private and social benefits. Third, to identify the potential of pension funds as a flow of resources that can be channeled toward the development of infrastructure. And finally, to quantify the impact that the destination of these funds could have on the long-term growth projections of a country. To this end, we conducted an experiment to calculate per capita GDP growth in Latin America if the share of pension fund portfolios in assets related with direct infrastructure investment was increased. For this, we compared an inertial scenario (taking into account the current diversification of portfolios), versus one in which these were increased toward a higher level, in accordance with the regulatory framework of each country. These scenarios are incorporated in an expanded neoclassical growth model, in which GDP depends on the accumulation of traditional factors, plus the introduction of the infrastructure capital stock, which depends in part on the contributions of pension funds. The results of the model show substantial improvements in infrastructure investment and per capita GDP in Peru and Chile by more than 3% by 2050, and by 1.1% in the case of Mexico, and 2.16% in Colombia. The results of this study gives new light to the double importance that pension fund investment in infrastructure might have, generating a complementary relation between the objectives of the pension industry in providing workers with a profitable portfolio with limited risks, and at the same time generating an important contribution to growth in the country, which in the end would result in a greater development of pension funds, in brief, a virtuous circle that is necessary to strengthen.

The key twin objectives of pension and retirement system are income security and consumption smoothing for members and their family (heirs). Accordingly, pension funds worldwide devise laws that preserve and improve these key objectives. Laws that failed to take into account these objectives not only impose extra financial burden on the pension system, but also may pose undesirable social and economic effects. In this respect, economic analysis of pension laws would help lawmakers to make workable and implementable laws. Generally, economic analysis of law seeks to answer two basic questions regarding legal rules: what are the effects of legal rules on the behavior of relevant actors? And are these effects socially desirable? This paper examines the pension law of Iran’s civil servant pension fund (CSPF) for female heirs in light of the afore-mentioned key objectives of pension system, and from social justice point of view. The results from the analysis reveal that this does not only adhere to social justice and pension system’s main purpose, but also it imposes economic and social costs. The weak side of the law also creates financial burden on the pension fund, the young generation (paying pension benefits to the considered heirs from its contribution) and the public at large. The study also shows that life time payment of pensions to heirs by CSPF encourages late or informal marriages hence defecting acceptable social norms and may increase informal labor supply, creating a further problem in the labor market. The study thus recommends the need for reforming the existing law and rules of CSPF for female heirs.

This paper explores the relationship between demographics and aggregate financial asset prices in 7 OECD countries over the past 50 years. Unlike most extant work it adopts an international as well as US focus, and also includes non-demographic variables usually considered to influence asset prices in the econometric specification. Furthermore, we examine effects on bond yields as well as share prices.

Ndetan, Harrison Tatandam, M.Sc., MPH. Association between Lung Cancer/Multiple Myeloma Mortality and Exposure to Oncogenic Viruses – Statistical Analysis Using Non-model- and Model-based Statistical Methods and Various Control Sampling Schemes for Cancer Mortality in Occupational Cohorts. Doctor of Public Health (Biostatistics), December 2009; 119 pp., 9 tables, 7 appendices, 38 titles. This study was designed to compare non-model- and model-

We analyze the importance of longevity risk for the solvency of portfolios of pension annuities. We distinguish two types of mortality risk. Micro-longevity risk quantifies the risk related to uncertainty in the time of death if survival probabilities are known with certainty, while macrolongevity risk is due to uncertain future survival probabilities. We use a generalized two-factor Lee-Carter mortality model to produce forecasts of future mortality rates, and to assess the relative importance of micro-and macro-longevity risk for funding ratio uncertainty. The results show that if financial market risk is fully hedged so that uncertainty in future lifetime is the only source of uncertainty, pension funds are exposed to a substantial amount of risk. Systematic and non-systematic deviations from expected survival imply that, depending on the size of the portfolio, buffers that reduce the probability of underfunding to 2.5% at a 5-year horizon have to be of the order of magnitude of 7% to 8% of the initial value of the liabilities.

The demographical evolutions of the last 20 years, the changes in the Romanian economy and society influenced one special category which is the retired people. As inactive population, retired people represents an important category, their numbers being rather big in comparison with the employed population, practical the contributors at the pensions fund. In 2010, the stat has serious problems with

This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are nonnegligible: 20 basis points for buys and 26 basis points for sells. Furthermore, we show that (relative) trade size and market capitalization, commonly found to play an important role, have only limited influence on the price impact of a trade. The most important determinants of the price effect are investment style, trade type (agency, single, or principal), momentum, stock price volatility, and trading venue.