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Organisation des systèmes de retraite et modélisation des fonds de pension

Abstract : Pension funds have many aspects, all interesting to be studied. We have chosen to work on their modelisation and also to present a panorama on the retirement systems and their organization worldwide. In the first part of the thesis, we analyse that the three main modes of the retirement systems, that is the redistribution mode, the capitalization mode and the retirement by subvention, although they may seem very different, can be organized simultaneously. Our view on the retirement systems is through an insurance and financial point of view and we give of course, special attention to the french system. Then, we move to how pension fund modelisations are made up to now and we give on an analysis on pension funds risks. We then, introduce the currently used modelisations that are the modelisations in an dynamic discrete-time. We illustrate with examples and we build a static-time modeling case like a particular case of the dynamic discreet-time. Concerning the static-time, we take time to study the ruin probability of the pension funds firm. In the second part of the thesis, we deal again, in a continuous time framework, with all the insurance principles and practical ways of the discrete time. But we go further by incorporating the usual insurance tools in a financial framework. The pension fund population is taken in a restriction free way. We use the feasibility condition, the insurance equilibrium and the mortality probability. We have two stochastic rates : the spot interests rate and the inflator rate. We put both the consumer price index and the fund's liability on the center of the economy by using them as numeraire, one after the other. In an incomplete market, due to the nonhedgeable dimensions of the consumer price index in one hand and the salaries in the other hand, we come to results, in some cases. Our results are consistent to the pension funds optimal allocation literature. Again, we study the ruin probability of the pension funds firms from many points of view.
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Contributor : Mohamed Talfi <>
Submitted on : Tuesday, September 30, 2008 - 5:47:31 PM
Last modification on : Tuesday, October 20, 2020 - 10:50:12 AM

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Mohamed Talfi. Organisation des systèmes de retraite et modélisation des fonds de pension. Gestion et management. Université Claude Bernard - Lyon I, 2007. Français. ⟨tel-00325943⟩

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