Melis, Roberta and Trudda, Alessandro (2012) Financial and demographic risks impact on a pay-as-you-go pension fund. In: Perna, Cira and Sibillo, Marilena Mathematical and statistical methods for actuarial sciences and finance, Milano, Springer. p. 305-313. ISBN 978-88-470-2341-3. Book Section.
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This paper studies the financial sustainability of a pay-as-you-go pension fund within a stochastic framework. To this aim, a set of risk indicators of the solvency of the fund are also constructed. Financial and demographic risks are analyzed by investigating and comparing their impact on the evolution of the fund. Numerical results are approached by means of a simulation methodology, on the Italian pension funds.
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