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Modeling the Ruin Probability of a Non-state Pension Fund Taking into Account Risky Investments

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Book cover Smart Technologies and Innovations in Design for Control of Technological Processes and Objects: Economy and Production (FarEastСon 2018)

Part of the book series: Smart Innovation, Systems and Technologies ((SIST,volume 138))

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Abstract

The issues of financial sustainability of non-state pension Funds, which is understood as sufficiency of assets for fulfilling obligations to clients, are of great importance in the modern economy both for participants of pension programs and management of financial organization. Actuarial risks and investment policy of an organization have a significant impact on the solvency of the pension fund. The paper presents a simulation model for assessing the financial resources dynamics of a non-state pension Fund investing in risky and risk-free assets. Approbation of the model is performed on the example of two pension schemes operating in Russia: mandatory pension insurance, non-state pension insurance. The model allows estimating the financial resources of a non-state pension Fund in dynamics, collecting descriptive statistics of financial resources distributions, assessing the financial and actuarial risks of an organization. The author suggests an approach to assessing the ruin probability of a non-state pension Fund considering risky investments over a finite time. An impact analysis of the risk process characteristics of pension fund on the ruin probability is carried out.

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Authors and Affiliations

  1. Orenburg State University, Orenburg, Russia

    O. N. Yarkova & A. G. Renner

Authors
  1. O. N. Yarkova
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  2. A. G. Renner
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Correspondence to O. N. Yarkova .

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Editors and Affiliations

  1. Department of Innovatics, Engineering School, Far Eastern Federal University (FEFU) , Vladivostok, Russia

    Denis B. Solovev

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Yarkova, O.N., Renner, A.G. (2020). Modeling the Ruin Probability of a Non-state Pension Fund Taking into Account Risky Investments. In: Solovev, D. (eds) Smart Technologies and Innovations in Design for Control of Technological Processes and Objects: Economy and Production. FarEastСon 2018. Smart Innovation, Systems and Technologies, vol 138. Springer, Cham. https://doi.org/10.1007/978-3-030-15577-3_50

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