Liability-driven investment strategy - sensitivity analysis of a UK pension scheme

Detalhes bibliográficos
Autor(a) principal: Tavares, Daniela da Costa
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/111325
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling Liability-driven investment strategy - sensitivity analysis of a UK pension schemeLiability-Driven InvestmentLiability Benchmark PortfolioUnited Kingdom pension schemesDefined-benefit pension schemeDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementPension schemes and hedging strategies are constantly being subject to research throughout the years. However, to the best of our knowledge, there is no literature that studies how changing actuarial assumptions affects the hedging position of the schemes. Therefore, the objective of this study is to analyze the hedging sensitivity to demographic and economic assumptions used on the Actuarial Valuation and, consequently, contribute to an unexplored topic. This research will be directly focused in a dummy UK pension scheme for the liabilities calculations while the asset portfolio was constructed using a duration and convexity matching strategy, where the scheme’s asset allocation is built with the main goal being that its sensitivity to interest and inflation rates changes is matched with the corresponding scheme’s liabilities sensitivity. To calculate the liabilities sensitivity of a pension scheme, it is derived a Liability Benchmark Portfolio. However, not only interest and inflation rates shifts represent a risk for the pension scheme. All the assumptions used to derive the Liability Benchmark Portfolio will also be a risk that will not be hedged in the immunization strategy. The assumptions that were analyzed throughout this research are the following: mortality table, rate of improvement, spouse’s age, discount basis, inflation rate and the wedge between CPI and RPI. This dissertation therefore tests how changing assumptions impacts the hedging strategy of the scheme and the respective consequences in the final designed asset portfolio.Bravo, Jorge Miguel VenturaRUNTavares, Daniela da Costa2021-02-05T12:44:22Z2021-01-072021-01-07T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/111325TID:202612120enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:55:10Zoai:run.unl.pt:10362/111325Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:41:52.682030Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
title Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
spellingShingle Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
Tavares, Daniela da Costa
Liability-Driven Investment
Liability Benchmark Portfolio
United Kingdom pension schemes
Defined-benefit pension scheme
title_short Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
title_full Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
title_fullStr Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
title_full_unstemmed Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
title_sort Liability-driven investment strategy - sensitivity analysis of a UK pension scheme
author Tavares, Daniela da Costa
author_facet Tavares, Daniela da Costa
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Tavares, Daniela da Costa
dc.subject.por.fl_str_mv Liability-Driven Investment
Liability Benchmark Portfolio
United Kingdom pension schemes
Defined-benefit pension scheme
topic Liability-Driven Investment
Liability Benchmark Portfolio
United Kingdom pension schemes
Defined-benefit pension scheme
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2021
dc.date.none.fl_str_mv 2021-02-05T12:44:22Z
2021-01-07
2021-01-07T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/111325
TID:202612120
url http://hdl.handle.net/10362/111325
identifier_str_mv TID:202612120
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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