A Stochastic Methodology for the Estimation of Actuarial Risk in a Defined Benefit Pension Fund

Álvaro Veiga, Cristiano Fernandes

A project commissioned by Algorithmics with the aim to develop and implement a stochastic methodology for estimating the actuarial risk for the defined benefit pension fund run by PREVI/Banco do Brasil, the largest pension fund in Latin America. More precisely, development of a system to measure liquidity risk and bankruptcy risk for decision support concerning benefits, contributions, and investment policies. (2003 – 2005).