The aim of a pension system is to provide consumption smoothing and insurance for pensioners afte... more The aim of a pension system is to provide consumption smoothing and insurance for pensioners after retirement. However, longevity risk and economic uncertainty raise issues regards pension fund stability and sustainability. The objective of this paper is to analyze the soundness of Malaysia‟s Employees Provident Fund (EPF) in fulfilling the pension system objectives and providing a protection to maintain its members‟ standard of living during retirement. This paper provides information on the current state of the pension system in Malaysia, focusing on the EPF, its financial soundness and more generally the economic adequacy of pension‟s schemes for pensioners over their retirement. Keywords—Demographic, Financial Soundness, EPF, Adequacy.
International Journal of Innovative Technology and Exploring Engineering, 2019
This article investigates, under deterministic linear programming model, asset allocation decisio... more This article investigates, under deterministic linear programming model, asset allocation decision and optimal investment strategy for Malaysia’s defined contribution pension (DC) scheme -Employees Provident Fund (EPF). The model requires generation of scenarios and probabilities to represent future assets and liabilities streams. We employed Vector Autoregressive (VAR) model to generate future returns of five asset classes i.e. equity, money market instrument, Malaysia government bond with 1 and 10 years of maturity date and property. Future liabilities factors were derived from two submodels; population and salary. In population model, the future status of the EPF members was determined using a Markov Chain model. Then, the random factors of assets and liabilities were used in the asset liability model (ALM) based on linear programming (LP) and fixed mix (FM) strategy. The results of the research are grouped in two levels. First, we briefly discuss the finding of the random factor...
The aim of a pension system is to provide consumption smoothing and insurance for pensioners afte... more The aim of a pension system is to provide consumption smoothing and insurance for pensioners after retirement. However, longevity risk and economic uncertainty raise issues regards pension fund stability and sustainability. The objective of this paper is to analyze the soundness of Malaysia‟s Employees Provident Fund (EPF) in fulfilling the pension system objectives and providing a protection to maintain its members‟ standard of living during retirement. This paper provides information on the current state of the pension system in Malaysia, focusing on the EPF, its financial soundness and more generally the economic adequacy of pension‟s schemes for pensioners over their retirement. Keywords—Demographic, Financial Soundness, EPF, Adequacy.
Abstract Over the past decade remarkable changes in Malaysia's demographic composition has oc... more Abstract Over the past decade remarkable changes in Malaysia's demographic composition has occurred; featuring increased life expectancy, falling fertility and population ageing. These trends raise the issue of the sustainability of Malaysia's existing pension scheme in providing future pensioners with an income to cover basic needs. This study analyses the need to reform Malaysia's existing pension scheme in the light of the current demographic challenges facing the country.
The aim of a pension system is to provide consumption smoothing and insurance for pensioners afte... more The aim of a pension system is to provide consumption smoothing and insurance for pensioners after retirement. However, longevity risk and economic uncertainty raise issues regards pension fund stability and sustainability. The objective of this paper is to analyze the soundness of Malaysia‟s Employees Provident Fund (EPF) in fulfilling the pension system objectives and providing a protection to maintain its members‟ standard of living during retirement. This paper provides information on the current state of the pension system in Malaysia, focusing on the EPF, its financial soundness and more generally the economic adequacy of pension‟s schemes for pensioners over their retirement. Keywords—Demographic, Financial Soundness, EPF, Adequacy.
International Journal of Innovative Technology and Exploring Engineering, 2019
This article investigates, under deterministic linear programming model, asset allocation decisio... more This article investigates, under deterministic linear programming model, asset allocation decision and optimal investment strategy for Malaysia’s defined contribution pension (DC) scheme -Employees Provident Fund (EPF). The model requires generation of scenarios and probabilities to represent future assets and liabilities streams. We employed Vector Autoregressive (VAR) model to generate future returns of five asset classes i.e. equity, money market instrument, Malaysia government bond with 1 and 10 years of maturity date and property. Future liabilities factors were derived from two submodels; population and salary. In population model, the future status of the EPF members was determined using a Markov Chain model. Then, the random factors of assets and liabilities were used in the asset liability model (ALM) based on linear programming (LP) and fixed mix (FM) strategy. The results of the research are grouped in two levels. First, we briefly discuss the finding of the random factor...
The aim of a pension system is to provide consumption smoothing and insurance for pensioners afte... more The aim of a pension system is to provide consumption smoothing and insurance for pensioners after retirement. However, longevity risk and economic uncertainty raise issues regards pension fund stability and sustainability. The objective of this paper is to analyze the soundness of Malaysia‟s Employees Provident Fund (EPF) in fulfilling the pension system objectives and providing a protection to maintain its members‟ standard of living during retirement. This paper provides information on the current state of the pension system in Malaysia, focusing on the EPF, its financial soundness and more generally the economic adequacy of pension‟s schemes for pensioners over their retirement. Keywords—Demographic, Financial Soundness, EPF, Adequacy.
Abstract Over the past decade remarkable changes in Malaysia's demographic composition has oc... more Abstract Over the past decade remarkable changes in Malaysia's demographic composition has occurred; featuring increased life expectancy, falling fertility and population ageing. These trends raise the issue of the sustainability of Malaysia's existing pension scheme in providing future pensioners with an income to cover basic needs. This study analyses the need to reform Malaysia's existing pension scheme in the light of the current demographic challenges facing the country.
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Papers by Roslan Jaafar