{"id":{"repo_id":"cagliari","oai_identifier":"oai:iris.unica.it:11584/265933"},"canonical_url":"https://search.dev.ndltd.org/etd/cagliari/oai:iris.unica.it:11584/265933","repository":{"repo_id":"cagliari","name":"Università di Cagliari","base_url":"https://iris.unica.it/oai/request"},"display":{"title":"A quantitative model for the asset liability management of a Pension Fund","abstract":"The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here are: how to classify pension systems, the main characteristics of each kind of system, examples of major systems and the important reforms that have been implemented in Italy; the chapter ends with a description of Italian professional order pension funds. Chapter 2 describes asset liability management techniques in pension schemes; it contains a review on major literature on asset liability management and a discussion on interested parties in this topic and on policies and instruments which can be adopted. Chapter 3 contains an original model to determine the optimal financial investment policy in a pension fund, considering both financialand actuarial risk. Moreover, the model takes care of the pension plan’s sustainability, i.e. of the balance between the active and retired members. Chapter 4 is a numerical application of the model described in the previous chapter to a real Italian pension fund. Finally, in Chapter 5 conclusions are drawn related to the question asked.","abstract_html":"The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here are: how to classify pension systems, the main characteristics of each kind of system, examples of major systems and the important reforms that have been implemented in Italy; the chapter ends with a description of Italian professional order pension funds. Chapter 2 describes asset liability management techniques in pension schemes; it contains a review on major literature on asset liability management and a discussion on interested parties in this topic and on policies and instruments which can be adopted. Chapter 3 contains an original model to determine the optimal financial investment policy in a pension fund, considering both financialand actuarial risk. Moreover, the model takes care of the pension plan’s sustainability, i.e. of the balance between the active and retired members. Chapter 4 is a numerical application of the model described in the previous chapter to a real Italian pension fund. Finally, in Chapter 5 conclusions are drawn related to the question asked.","abstract_has_math":false,"creators":["CANNAS, GIUSEPPINA"],"institution":"Università degli Studi di Cagliari","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011-02-09","date_published":"2011-02-09","updated_at":"2026-07-24T01:30:03Z","subjects":["Dynamic asset allocation","Pension fund","Sthocastic optimal control","Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie"],"languages":["eng"],"rights":["info:eu-repo/semantics/openAccess","license:Non specificato"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11584/265933","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["CANNAS, GIUSEPPINA"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2011-02-09"]},{"key":"dc:publisher","label":"Institution","values":["Università degli Studi di Cagliari"]},{"key":"dc:relation","label":"Dc Relation","values":["numberofpages:100"]},{"key":"dc:type","label":"Dc Type","values":["info:eu-repo/semantics/doctoralThesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Dynamic asset allocation","Pension fund","Sthocastic optimal control","Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["info:eu-repo/semantics/openAccess","license:Non specificato"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/11584/265933"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here are: how to classify pension systems, the main characteristics of each kind of system, examples of major systems and the important reforms that have been implemented in Italy; the chapter ends with a description of Italian professional order pension funds. Chapter 2 describes asset liability management techniques in pension schemes; it contains a review on major literature on asset liability management and a discussion on interested parties in this topic and on policies and instruments which can be adopted. Chapter 3 contains an original model to determine the optimal financial investment policy in a pension fund, considering both financialand actuarial risk. Moreover, the model takes care of the pension plan’s sustainability, i.e. of the balance between the active and retired members. Chapter 4 is a numerical application of the model described in the previous chapter to a real Italian pension fund. Finally, in Chapter 5 conclusions are drawn related to the question asked."]},{"key":"dc:title","label":"Title","values":["A quantitative model for the asset liability management of a Pension Fund"]}]}],"canonical_facts":{"dc:creator":["CANNAS, GIUSEPPINA"],"dc:date":["2011-02-09"],"dc:description":["The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here are: how to classify pension systems, the main characteristics of each kind of system, examples of major systems and the important reforms that have been implemented in Italy; the chapter ends with a description of Italian professional order pension funds. Chapter 2 describes asset liability management techniques in pension schemes; it contains a review on major literature on asset liability management and a discussion on interested parties in this topic and on policies and instruments which can be adopted. Chapter 3 contains an original model to determine the optimal financial investment policy in a pension fund, considering both financialand actuarial risk. Moreover, the model takes care of the pension plan’s sustainability, i.e. of the balance between the active and retired members. Chapter 4 is a numerical application of the model described in the previous chapter to a real Italian pension fund. Finally, in Chapter 5 conclusions are drawn related to the question asked."],"dc:identifier":["http://hdl.handle.net/11584/265933"],"dc:language":["eng"],"dc:publisher":["Università degli Studi di Cagliari"],"dc:relation":["numberofpages:100"],"dc:rights":["info:eu-repo/semantics/openAccess","license:Non specificato"],"dc:subject":["Dynamic asset allocation","Pension fund","Sthocastic optimal control","Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie"],"dc:title":["A quantitative model for the asset liability management of a Pension Fund"],"dc:type":["info:eu-repo/semantics/doctoralThesis"]},"updated_at":"2026-07-24T01:30:03Z"}