Showing 1 - 10 of 10,665
We consider the problem of finding the optimal annuitization time in the decumulation phase of a defined contribution pension scheme, exploiting the model of Gerrard, Højgaard and Vigna (2010). We make extensive numerical investigations on the optimal annuitization time, size of final annuity...
Persistent link: https://www.econbiz.de/10013038870
We analyze the rationale for the pay-as-you-go (paygo) pension system existence on diversi fication grounds. A continuous-time portfolio choice setting is built, basing on Merton (1971)´s analysis, where a reasonable balance between the taking account of the economic and fi nancial facets of...
Persistent link: https://www.econbiz.de/10013133520
This study deals with the possible link between pension funds, venture capital and innovation to manage the challenge of aging. Institutional capacities of Hungarian second pillar is engrossed by the reallocation of it's bond and stock portfolio - therefore "exotic" investments as selected...
Persistent link: https://www.econbiz.de/10013070349
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...
Persistent link: https://www.econbiz.de/10013111857
This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...
Persistent link: https://www.econbiz.de/10010532241
We study optimal portfolios for defined contribution (possibly mandatory) pension systems, which maximize expected pensions subject to a risk level. By explicitly considering the present value of future individual contributions and changing the risk-return numeraire to future pension units we...
Persistent link: https://www.econbiz.de/10014062203
We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule.Through a...
Persistent link: https://www.econbiz.de/10014349939
A two factor stochastic model is introduced for the two phases of a defined-contribution pension scheme. During the accumulation phase of the pension, the scheme member invests part of their stochastic income in a portfolio of a risky stock and a bond in order to build up sufficient funds for...
Persistent link: https://www.econbiz.de/10014216378
Mexico introduced a Defined Contribution (DC) Pension System in 1997. We analyzed the behavior of affiliated workers under the institutional design of the reformed system. Before the reform, 75% of affiliated workers could receive a lifetime annuity upon retirement; we project that under the new...
Persistent link: https://www.econbiz.de/10012890711
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...
Persistent link: https://www.econbiz.de/10013135360