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The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds
Dissertation (MSc (Actuarial Science))--University of Pretoria, 2018.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2022
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| _version_ | 1867613660633890816 |
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| access_status_str | Open Access |
| author2 | Beyers, Frederik Johannes Conradie |
| author_browse | Beyers, Frederik Johannes Conradie |
| author_facet | Beyers, Frederik Johannes Conradie |
| collection | Thesis |
| dc_rights_str_mv | © 2021 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Actuarial Science))--University of Pretoria, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/88635 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:39:41.079Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/88635 The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds Beyers, Frederik Johannes Conradie Venter, Marli corlia.laue@up.ac.za Laue, Corlia Petronella UCTD Smoothed bonus portfolios (SBPs) Investment risk First-order stochastic dominance (FSD) Pension funds Dissertation (MSc (Actuarial Science))--University of Pretoria, 2018. The aim of this study is to investigate whether smoothed bonus portfolios (SBPs) are effective at managing the investment risk that members of a defined contribution pension fund are exposed to. Investment risk arises from the uncertainty of the performance of the assets invested in by the fund during the accumulation phase. This creates uncertainty for a member as to what the outcome at retirement will be. It is measured as the value at risk as well as conditional tail expectation, calculated on a member's simulated savings at retirement. The effectiveness of an SBP is investigated through applying three methodologies, namely 1) a return/risk analysis where the contribution of each of the features of an SBP to its return and return/risk ratio is analysed; 2) comparing the simulated outcome at retirement of an SBP with the outcome of two types of notional benchmark portfolios that apply simpler investment strategies, but are set up to have the same level of risk as the SBP; and 3) applying first-order stochastic dominance (FSD) rules. On a risk adjusted basis, the guarantee and smoothing mechanism of an SBP make positive contributions to its performance. However, when comparing the outcome of the notional benchmark portfolios with that of the SBPs, the former consistently outperform the SBPs modelled. Applying FSD rules, the notional benchmark portfolios are found to be preferred to a greater extent than the SBPs. Insurance and Actuarial Science MSc (Actuarial Science) Unrestricted 2022-12-06T06:13:35Z 2022-12-06T06:13:35Z 2019 2018 Dissertation * A2019 https://repository.up.ac.za/handle/2263/88635 en © 2021 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Smoothed bonus portfolios (SBPs) Investment risk First-order stochastic dominance (FSD) Pension funds The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| title | The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| title_full | The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| title_fullStr | The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| title_full_unstemmed | The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| title_short | The effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| title_sort | effectiveness of smoothed bonus portfolios for mitigating investment risk in defined contribution pension funds |
| topic | UCTD Smoothed bonus portfolios (SBPs) Investment risk First-order stochastic dominance (FSD) Pension funds |
| url | https://repository.up.ac.za/handle/2263/88635 |