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 paper establishes a theoretical link between actuarial neutrality and the Oaxaca-Blinder decomposition to empirically assess vertical equity in public defined-benefit schemes. We demonstrate how this approach can be generalized to non-linear functions, point systems, and notional accounts....

We propose a generational plan for the occupational pension provision in which people from the same generation are pooled in a generational fund. Each fund can set its own policies independently. This plan provides the benefits of differentiation missing in the prevailing collective plan and the...

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.This problem has already been treated in the unconstrained case in a number of papers. The aim...

This paper investigates the determinants of public pension plan risk-taking behavior using the percentage of total plan assets invested in the equity markets and the pension asset beta as measures of investment risk. We find that government accounting standards strongly affect public fund...

When a firm sponsoring a defined benefit pension plan approaches financial distress, the Pension Benefit Guaranty Corporation (PBGC) insurance effect materializes and the optimal pension portfolio policy becomes aggressive. In this configuration, a regulation restricting the pension investment...

This study proposes a novel structured product (SP) among the basket of financial products sold to pension fund members. The product offers to hedge defined contribution (DC) pension portfolio members against capital market risk. Based on trading risk-free government bonds and call options on a...

I explore the role of corporate social responsibility (CSR) in mitigating managers' opportunistic behavior related to defined benefit (DB) pension plan management. Strong CSR firms tend to engage less in earnings manipulation associated with executive option granting and CFO's pay sensitivity to...

In the US, Defined Benefit Plans are insured by the Pension Benefit Guaranty Corporation (PBGC). Taking account of the facts that the PBGC covers only the residual deficits of the pension fund the sponsoring company is unable to cover and that the plans can be prematurely terminated, we consider...

This study examined the profit-share pension model as a potential vehicle for generating capital accumulation and effecting a progressive redistribution of wealth. Taking the functions of the pension mechanism as the guiding principle, we attempted to incorporate a profit-share fund into a three...