Research

Publications, Submitted & Work in Progress

Publications

  1. Boado-Penas, M.C., Godínez-Olivares, H., and Haberman, S.(2020)"Automatic Balancing Mechanisms for Pay-As-You-Go Pension Finance: Do They Actually Work?", In Economic Challenges of Pension Systems. A Sustainability and International Management Perspective. (Eds) Editors: Peris-Ortiz, M., Álvarez-García, J., Domínguez-Fabián, I., Devolder, P. Springer.
  2. Boado-Penas, M.C., Godínez-Olivares, H., Haberman, S. and Serrano, P. (2019)"Automatic Balancing Mechanisms for Mixed Pension Systems under different Investment Strategies", The European Journal of Finance. Volume 26, 2020 - Issue 2-3.
  3. Turner, J., Godínez-Olivares, H., McCarthy, D.D., and Boado-Penas, M.C. (2017)"Determining Discount Rates Required to Fund DB Plans", Society of Actuaries, United States.
  4. Godínez-Olivares, H., Boado-Penas, M.C. and Haberman, S. (2016)"Optimal strategies for Pay-as-you-go pension finance: A sustainability framework", Insurance: Mathematics and Economics, 69, 117-126.
  5. Arnold (-Gaille), S., Boado-Penas, M.C. and Godínez-Olivares, H. (2016)"Longevity Risk in Notional Defined Contribution Pension Schemes: a Solution", The Geneva Papers on Risk and Insurance Issues and Practice on Longevity Risks, 41(1), 24-52.
  6. Godínez-Olivares, H., Boado-Penas, M.C. and Pantelous, A.A. (2016)"How to finance pensions: Optimal strategies for pay-as-you-go pension systems", The Journal of Forecasting, 35(1), 13-33.
  7. Boado-Penas, M.C. and Godínez-Olivares, H. (2017)"An Alternative Pension Reform for Spain based on Optimisation Techniques", Anales del Instituto de Actuarios Españoles, 3era época, 21, 107-134.
  8. Godínez-Olivares, H. and Boado-Penas, C. and Pantelous, A.A. (2014)"Optimal strategies for long-term sustainability in PAYG pension systems using control theory in a dynamic nonlinear framework", Vulnerability, Uncertainty, and Risk: Quantification, Mitigation, and Management - Proceedings of the 2nd International Conference on Vulnerability and Risk Analysis and Management, ICVRAM 2014 and the 6th International Symposium on Uncertainty Modeling and Analysis, ISUMA 2014, 1214-1223.

Submitted

  1. Is China's one-child policy sensible? Consequences for the sustainability of the pay-as-you-go pension system with M.C. Boado-Penas, S. Haberman and J. Xu.

Work in Progress

  1. Linking pensions to life expectancy: A solution to guarantee long-term sustainability? with M.C. Boado-Penas and S. Haberman.
  2. Defined benefit versus defined contribution pension plans: A case study of a company in an emerging market with A. Currie.
  3. How investment strategies based on Machine-Learning algorithms influence the sustainability of a system.
  4. Governance and investment of public reserves funds in the era of Big Data.

Research Interests

RISK MANAGEMENT
PENSION SYSTEMS
TIME SERIES
BIG DATA & MACHINE LEARNING
FINANCIAL MODELLING
CRYPTOFINANCE