Continuous time model for notional defined contribution pension schemes: Liquidity and solvency
| Autor: | Jennifer Alonso-García, Pierre Devolder |
|---|---|
| Přispěvatelé: | UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles |
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Fairness Traceability Population UNITED-STATES Overlapping generations model MECHANISMS FINANCE SUSTAINABILITY 0502 economics and business Economics Contribution Pension design 050207 economics Notional amount education Indexation Automatic balancing mechanisms ACTUARIAL BALANCE RISK Pension education.field_of_study Solvency INCOME 050208 finance Actuarial science MORTALITY 05 social sciences Notional (Non-Financial) Defined Contribution Market liquidity Notional (Non-Financial) Defined Liquidity Statistics Probability and Uncertainty SYSTEM |
| Zdroj: | Insurance Mathematics & Economics, 88, 57-76. ELSEVIER SCIENCE BV Insurance: Mathematics and Economics, Vol. 88, p. 57-76 (2019) |
| ISSN: | 0167-6687 |
| Popis: | Notional Defined Contribution (NDC) pension schemes are defined contribution plans which are pay-as-you-go financed. From a design viewpoint, the countries where NDCs have been implemented cannot guarantee sustainability due to the choice of notional return paid to the contributions and the indexation rate paid to pensions. We study how the scheme should be designed to achieve liquidity and solvency with a limited set of assumptions in a continuous overlapping generations model that increases traceability of the results. The adequacy and actuarial fairness are also jointly studied in the numerical example for the population of Belgium. We find that the proposed indexation and notional rate act as automatic balancing mechanisms that ensure sustainability and actuarial fairness. However, the effect on pension adequacy depends on the generosity of the annuity scheme at retirement. (C) 2019 Elsevier B.V. All rights reserved. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect