Population aging and asset prices.

Summary The demographics of developed economies show a rapid aging of their populations, and this process has begun in emerging countries. Demographic aging is due to three phenomena: the postponement of the age of first childbirth, the decline in fertility and the increase in life expectancy. This phenomenon has important economic consequences, notably through the rise in the dependency ratio, defined as the number of retirees in relation to the working age population. This thesis focuses on the consequences of demographic aging on the price of capital and on the financing of pensions in the face of the financial crisis. In the first chapter, we study the effect of the dynamics of the demographic structure on the price of capital in a nested-generation model with capital adjustment costs. The findings indicate that the price of assets increases and then decreases as the demographic structure changes. The second chapter focuses on the performance of a large portfolio during financial market stress. Using copula theory, we develop a methodology to analyze the exposure of a portfolio to different extreme market risks. The third chapter deals with the analysis of the sensitivity of the financial situation of pension funds to market risks, using the methodology developed in the previous chapter. We find that the assets and liabilities of a pension fund's balance sheet are vulnerable to volatile movements in financial markets.