Pension funds governance: combining SD, Agent based Modelling and fuzzy logic to adress Dynamic Asset and Liability Management (ALM) problem

The governance is a system composed by a great number of interdependent entities, with different degrees of relationship. This article considers the governance of a socialeconomic and political environment under a pension fund’s perspective as a complex system in which the interactions among the actors influence the governance and the governance can influence their interactions, in a recursive way. In order to cope with the peculiarities of complex systems, a system dynamics (SD) model, combined with an agentbased model is proposed to analyze population dynamics and the influence of credibility as a subjective factor over the expected adhesion of new participants. The behavior of the agents is modeled using fuzzy logic. This way, the article aims to evidence the power of a multi-paradigm model to study complex environments and to offer a way to address a dynamic ALM problem in order to manage solvency and liquidity risks in pension funds.