Pension Funds and Social Security


At the end of this course the student will have acquired knowledge, skills and
powers to:
Identify subsystems of Portuguese Social Security (Social Security)
Calculate the pension for retirement and disability in accordance with the applicable legislation.
Major Systems and Social Security issues.

Define and explain the theory of the three pillars.

Set plans and pension funds.
Understand the concepts related with pension plans.
Elaborate a Pension Plan.
Understand the impact of the assumptions in the actuarial evaluation of benefits and future contributions.
Assess actuarial liabilities and contributions in a Pension Plan (Defined Benefit and Defined Contribution)
Distinguish the actuarial funding methods.
Understand the modus operands and management of pension funds.
Getting some knowledge of ALM.

General characterization





Responsible teacher

Maria de Lourdes Belchior Afonso


Weekly - 4

Total - 63

Teaching language



Available soon


Bowers, Newton, Gerber, Hickman, Jones and Nesbitt. (1997) Actuarial Mathematics (second edition). Itasca, Illinois: The Society of Actuaries
Winklevoss, H (2002) Pension mathematics with numerical illustrations; Pension Research Council of the Wharton School of the University of Pennsylvania.
Neill, A. (1992) Life contingencies. Butterworth-Heinemann, Oxford
Garcia, J; Simões, O (2010) Matemática Actuarial - Vida e Pensões. Editora Almedina

Teaching method

The teacher presents the themes using slides. Students perform case-studies to apply the concepts acquired in class throughout the semester. This subject will use examples from the available law for Pension Funds and Social Security. Classes take place in the laboratory to be possible to access content on the internet and solving using Excel.

Evaluation method


It is provided by the TP Presentation.

The TP is carried out in groups of 2 and is evaluated in three components (the results, the report, the oral presentation with equal weight).

Approval in continuous assessment:

The evaluation in normal season consists of: 2 tests and 1 practical work to be done during the class period. Let T1 , T2 and TP be the scores obtained, respectively, in both tests and in the practical work. Let AC=0.3*T1+0.4*T2+0.3*TP be the classifications obtained at the regular season. The student is approved in the regular season if AC>=9.5

Failure to carry out any component implies a zero grade in that component, for the calculation of AC.

Approval on appeal:

Let E exam grade.

Let NR = 0.7 E + 0.3 TP be the final grade. The Student approves if NR>=9.5

Grade improvement:

Students may carry out the exam, with a view to improving their grade. The practical assignment cannot be improved.

Grades equal or higher than 17.5 may be suject to additional assignment.

Subject matter

Social Security
Social Security Three pillar system
Main systems and problems of the Social Security
Pension plans
Portuguese Legislation
Implementing a Pension plan
The importance of the hypotheses in the evaluation of liabilities
Evaluation of Liabilities
Actuarial methods of funding
Defined contribution pension plans
Some topics on management
Actuarial Gains and Losses
Risk measures Value at Risk and Tail Value at Risk in Pension Funds
ALM models


Programs where the course is taught: