Research On Pension Risk Based On Kernel Methods

In 2008, the financial crisis had erupted on Wall Street in the United States, and eventually developed into a global financial crisis. At that time, China had to face severe economic challenges as well as the people’s suspect on pension insurance. As the reserve fund of pension,National Social Security Fund also got unprecedented attention. As reserve fund, National Social Security didn’t bear the pressure to pay to people right now.So stable and efficient return on investment and risk that can be controlled is our focus.This paper is trying to choose the appropriate methods and models for risk equity investments of Social Security Fund. At the theoretical level, the paper begins with a brief introduction of social security funds, investment risk and the measurement model. By comparison with the different risk measurement models, this paper has concluded that ES model which is based on the non-parametric kernel density estimation theory is suitable for investment risk measurement of the Social Security Fund.Also the paper has used K-Means clustering method to analyze the social security fund investment risk from another angle; At the empirical level, the paper has collected investment data of Social Security Fund which is related to in 648 companies.