This paper calculates the effect that introducing risk-sharing during either retirement or the working life would have on public sector pension liabilities. We begin by considering the introduction of a variable annuity for the retirement phase, modeled on the Wisconsin Retirement System, in...

This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

Does the Endowment Model still work? Judging by large endowments' steady outperformance of a 70% global stock/30% US bond index, THE ANSWER IS YES. Versus a 60% US stock/40% US bond index, the answer is not as clear cut.Even so, the Endowment Model still adds value for a long-term portfolio that...

This paper calculates the effect that introducing risk-sharing during either retirement or the working life would have on public sector pension liabilities. We begin by considering the introduction of a variable annuity for the retirement phase, modeled on the Wisconsin Retirement System, in...

Simulations of a model pension scheme are run with stochastic economic and demographic factors, with an aim to investigate the impact of these factors on movements in funding ratio and average contribution rates. These impacts are analyzed by running regressions of movements in funding ratio and...

This article addresses the question of whether foreign sovereign wealth funds (SWFs) should serve as a model for the United States in managing the Social Security Trust Fund. The last ten years has seen a significant shift in the way countries manage public pension and social insurance reserve...