Overview

Original Research

OPTIMIZATION OF INSOLVENCY RISK OF PENSION FUND BASED ON NEUTROSOPHIC FUZZY APPROACH

SAFWAT ELSEBAEY 1, HEGAZY ZAHER 2, NAGLAA RAGAA SAEID 3, and HEBA SAYED 4.

Vol 17, No 12 ( 2022 )   |  DOI: 10.5281/zenodo.7472657   |   Author Affiliation: Faculty of graduate studies for statistical research, Cairo University, Egypt 1,2,3,4.   |   Licensing: CC 4.0   |   Pg no: 1198-1209   |   To cite: SAFWAT ELSEBAEY, et al., (2022). OPTIMIZATION OF INSOLVENCY RISK OF PENSION FUND BASED ON NEUTROSOPHIC FUZZY APPROACH. 17(12), 1198–1209. https://doi.org/10.5281/zenodo.7472657   |   Published on: 22-12-2022

Abstract

Pension funds needs to achieve a high-income return to able to pay an actuarial expectations of different kinds of benefits of pension plan in future. The model of asset allocation management of a pension fund must consider a wide planning horizon because of its long-term liabilities. The problem of uncertainty and vagueness environment of stock market and scarcity of data on the probability of carrying out investment planes in the capital market can be solved by using neutrosophic fuzzy numbers which lets taking into consideration all the possible designs of financial assets achievement indicators when do the model for their achievements especially in the situation perspective of realization that refers to investment plans with vague probability and investment plans without the degree of vagueness.

Keywords

Insolvency risk; Mean and variance; Neutrosophic set theory; Pension fund.