Study On Risk-control In Pension Fund Management

At present, China's basic old-age insurance system is in the period of transition from the pay-as-you-go system to the integration system, in the management of basic pension fund, there are still many risks, such as the situation of fund balance of payments is grim, the fund gap is growing; fund management system is unsound, misusing and misappropriating funds occurred from time to time; the result of fund investment operation is not ideal, it is difficult to maintain and increase value of the fund, and so on. Such risk factors are great threats to the safety of the fund, therefore, strengthening research on control of the risks in pension fund management, preventing and alleviating the risks, guarantying security of the fund have become an important subject in China's basic old-age insurance system reform.Against this background, along the technical process of China's basic pension fund operation, the paper detailed analyses various risks performance in the course of pension fund operation, and summed up three root causes of these risks, that is, fund balance risk, investment operation risk, management model risk, then started analysis and studies of the three risk sources.For balance risk, using survival annuity theory in Insurance Actuarial Science, combining the provisions of payments in the "The State Council Decision on improving the basic endowment insurance system for the enterprise employees" issued by the end of 2005, the paper constructed two actuarial model to calculate fund gap of society pooling account and the replacement rate level of individual account, estimated the size of the fund gap and the level of the replacement rate, and made sensitivity analysis of the factors that impact the two. Through the analysis, we find effective ways to reduce the fund gaps and increase the level of the replacement rate, making reference for perfecting the system design.For investment operational risk, based on enriching individual account fund and entering capital market to operate, the paper systematically analyzed the investment risks faced by the fund and various risk measurement methods, put forward corresponding risk control strategies and did a comparative analysis of their applicability in according to the characteristics of pension fund investment risks. In the simulation analysis of asset allocation, using portfolio theory the paper deduced calculation method of the optimal asset allocation ratio of pension funds under different risk aversion coefficients, and made simulation analysis of asset allocation ratio of the fond with composite index and corporate bond index in Shanghai Stock Market, three-year bonds and bank deposits as sample, expecting to make reference for investment policy design of individual account fund in the future.For management pattern risk, we first analyzed problems of China's existing fund management patterns, and then compared the characteristics of foreign typical management patterns. Considering the actual situation in China, we put forward some suggestion to perfect the pension fond management and supervision in our country.