Modeling the Ruin Probability of a Non-state Pension Fund Taking into Account Risky Investments

  • O. N. YarkovaEmail author
  • A. G. Renner
Conference paper
Part of the Smart Innovation, Systems and Technologies book series (SIST, volume 138)


The issues of financial sustainability of non-state pension Funds, which is understood as sufficiency of assets for fulfilling obligations to clients, are of great importance in the modern economy both for participants of pension programs and management of financial organization. Actuarial risks and investment policy of an organization have a significant impact on the solvency of the pension fund. The paper presents a simulation model for assessing the financial resources dynamics of a non-state pension Fund investing in risky and risk-free assets. Approbation of the model is performed on the example of two pension schemes operating in Russia: mandatory pension insurance, non-state pension insurance. The model allows estimating the financial resources of a non-state pension Fund in dynamics, collecting descriptive statistics of financial resources distributions, assessing the financial and actuarial risks of an organization. The author suggests an approach to assessing the ruin probability of a non-state pension Fund considering risky investments over a finite time. An impact analysis of the risk process characteristics of pension fund on the ruin probability is carried out.


Non-state pension Funds Ruin probability Risky investments Financial sustainability Financial resources in dynamics 


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© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.Orenburg State UniversityOrenburgRussia

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