Risk Management of Pension Fund: A Model for Salary Evolution
a pension scheme. The aim of the models is to understand the evolution in time of the salary of active
workers in order to implement it in the construction of the actuarial technical balance sheet. It is
worth mentioning that the level of the contributions in a pension scheme is directly proportional to
the incomes of the active workers; in almost all cases, it is a percentage of the worker’s incomes. As a
consequence, an adequate modeling of the salary evolution is essential for the determination of the
contributions paid to the fund and thus for the determination of the fund’s sustainability, especially
currently, when all jobs and salaries are subject to changes due to digitalization, ICT, innovation, etc.
The model is applied to a large dataset of a real compulsory Italian pension scheme of the first pillar.
The semi-Markovian hypothesis is tested, and the advantages with respect to Markov chain models
are assessed. View Full-Text
D'Amico, G.; Lika, A.; Petroni, F. Risk Management of Pension Fund: A Model for Salary Evolution. Int. J. Financial Stud. 2019, 7, 44.
D'Amico G, Lika A, Petroni F. Risk Management of Pension Fund: A Model for Salary Evolution. International Journal of Financial Studies. 2019; 7(3):44.Chicago/Turabian Style
D'Amico, Guglielmo; Lika, Ada; Petroni, Filippo. 2019. "Risk Management of Pension Fund: A Model for Salary Evolution." Int. J. Financial Stud. 7, no. 3: 44.