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Detalhes da Produção
| Tipo | Trabalho em Eventos |
| Grupo | Produção Bibliográfica |
| Descrição | CHAIM, R. M. ; STREIT, R. E.. Managing Interest Rates on models that combines SD, Agent Based Modelling and fuzzy logic in Asset and Liability Management (ALM) of Brazilian Pension Funds. In: 7o congreso LatinoAmericano y 7o Encuentro Colombiano de Dinamica de Sistemas, 2009, Santa Marta. Anais do 7o congreso LatinoAmericano y 7o Encuentro Colombiano de Dinamica de Sistemas, 2009. v. . p. -. |
| Autor | Rosalvo Ermes Streit |
| Ano | 2009 |
Informações Complementares
| Ano de Realização | 2009 |
| Ano do Trabalho | 2009 |
| Cidade do Evento | Santa Marta |
| Classificação do Evento | INTERNACIONAL |
| Descrição e Informações Adicionais | Planning under uncertainty requires reliable tools for dynamic financial analysis. An ALM´s model problem is how to consider returns of investment forecasts and foresees based on uncertain liabilities. Lifetime and demographic studies focus on the population dynamics of a pension fund that has, among others, rates of mortality, withdrawal, disability and retirement that must be considered in pensions costs assessments and flow cashes. Modeling exogenous factors like interest rates and credibility is proposed as a way to manage long term investment policy based on current liabilities, both stochastic in nature. Thus , to adress ALM problem one must model stochastic liabilities based on stochastic assets to set more reliability to investment policies simulators. This articles focus on a combination of methods and techniques to model uncertainty. Delphi technique, factor analysis and SD methods were used to identify factors, model causation between variables and to describe the structure and the behaviour of a pension fund system; Stochastic processes and Monte Carlo simulation is used to manage probabilities distributions and to predict what future could be; and, in order to give to pension funds financial analysts and actuaries a way to perform more realistic analysis of the pension solvency and liquidity, fuzzy logic and agent based modelling managed interest rates and governance assumptions trying to predict interest rates sensitivity, and proposing a way to manage credibility, a construct based on the measurement of other, directly, observable variables expressed in fuzzy logic statements. |
| Divulgação Científica | NAO |
| Idioma | Inglês |
| Meio de Divulgação | MEIO_DIGITAL |
| Natureza | COMPLETO |
| Nome do Evento | 7o congreso LatinoAmericano y 7o Encuentro Colombiano de Dinamica de Sistemas |
| País do Evento | Colômbia |
| Relevância | NAO |
| Título dos Anais ou Proceedings | Anais do 7o congreso LatinoAmericano y 7o Encuentro Colombiano de Dinamica de Sistemas |
| Título do Trabalho | Managing Interest Rates on models that combines SD, Agent Based Modelling and fuzzy logic in Asset and Liability Management (ALM) of Brazilian Pension Funds |