Economic and financial analysis of pension funds.

Summary The purpose of this thesis is to analyze the fundamental issues related to the introduction, development and operation of pension funds. First, the question of the feasibility of a Pareto-improving transition from a pay-as-you-go to a funded pension system is raised. The analysis carried out shows that taking uncertainty into account, in the framework of an endogenous growth model, can invalidate the result of the certain case, affirming the feasibility of such a reform. Once the transition has taken place, the question arises as to the effects of the reform, which may call for an adaptation of policies. The analysis focuses on one important effect: the increased role of stock price changes in consumer spending, reflecting an increase in the wealth effect of the stock market. The results of the study, based on the example of the US economy, suggest that this development leads to an increase in macroeconomic instability and calls for a more pronounced inclusion of stock price changes in the Fed's reaction function. The structure and functioning of pension funds are analyzed in a third step. The theory of options first defines the tool of analysis, and a global study of the different levels of application of this theory constitutes the objective of the analysis. This study allows the definition of the main option incorporated in pension funds. We conclude that the different possible formulations of the strike price strongly influence its characteristics. Finally, we define a unified framework for determining and comparing optimal asset allocations of the main types of pension funds. Similarities between the investment strategies adopted by the different funds are highlighted. The analysis also shows that the provision of guarantees by external organizations can lead to a more aggressive optimal investor strategy.