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Download or read book Intergenerational Risk-Sharing & Risk-Taking of a Pension Fund written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Gollier
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (16 download)
Download or read book Intergenerational Risk-sharing and Risk-taking of a Pension Fund written by Christian Gollier and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roel M. W. J. Beetsma
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (713 download)
Download or read book Voluntary Participation and Intergenerational Risk Sharing in a Funded Pension System written by Roel M. W. J. Beetsma and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the feasibility of a funded pension system with intergenerational risk sharing when participation in the system is voluntary. Typically, the willingness of the young to participate depends on their belief about the future young's willingness to do so. We characterise equilibria with voluntary participation and show that the likelihood of their existence increases with risk aversion and financial market uncertainty. We find that it is likely that mandatory participation is necessary to sustain a funded pension pillar and to let participants benefit from intergenerational risk sharing.
Author : John Hassler
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Intergenerational Risk Sharing, Stability and Optimality of Alternative Pension Systems written by John Hassler and published by . This book was released on 1997 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jiajia Cui
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Intergenerational Risk Sharing within Funded Pension Schemes written by Jiajia Cui and published by . This book was released on 2009 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study risk sharing between generations for a variety of realistic collective funded pension schemes, where pension benefits and contributions may depend on the funding ratio and the asset returns. The collective pension schemes organizing intergenerational risk sharing are optimized with respect to generosity of pension benefits, asset allocation and risk allocation rules. Using contingent claims valuation method, we calculate the market value of the transfers between generations. We perform a welfare comparison between the collective plans with intergenerational risk sharing and the optimal individual benchmark. We show that well-structured intergenerational risk sharing is a zero-sum game in market value terms, but can be welfare-enhancing vis-a-vis the benchmark. The expected welfare for the future entering generations is higher than for the current entry generation. Even initially underfunded collective funds may provide higher utilities than the optimal individual benchmark, provided that the initial underfunding is not too severe.
Author : Roel M. W. J. Beetsma
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Pension Systems, Intergenerational Risk Sharing and Inflation written by Roel M. W. J. Beetsma and published by . This book was released on 2006 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recoge: 1. Introduction. - 2. The command economy. - 3. The decentralized economy. - 4. The loglinearized model. - 5. Laissez-faire: no pension system. - 6. The pension system. - 7. Optimal pension arrangements. - 8. Conclusions.
Author : Ilja Boelaars
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Risk-Sharing in Pension Funds When Stock and Labor Markets are Co-Integrated written by Ilja Boelaars and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: A well established believe in the pension industry is that collective pension funds should take more stock market risk (compared to individual retirement accounts) since risk may be shared with future generations. We extend the OLG model of Gollier (2008) by adding labor income risk in the spirit of Benzoni, Collin-Dufresne, and Goldstein (2007) and show that this idea may be misguided. For the empirical range of parameter values reported by Benzoni et. al., we find that optimal risk-sharing actually implies that collective pension funds should take less stock market risk, not more. If labor income and dividend income are co-integrated, efficient risk-sharing policies should transfer risk from future generations to current generations instead of the other way around. Furthermore, we find that the potential welfare gains from intergenerational risk-sharing are significantly lowered.
Author : Roel M. W. J. Beetsma
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (71 download)
Download or read book Voluntary participation and intergenerational risk sharing in a funded pension system written by Roel M. W. J. Beetsma and published by . This book was released on 2011 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark-Jan Boes
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Intergenerational Risk Sharing Under Loss Averse Preferences written by Mark-Jan Boes and published by . This book was released on 2016 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Individual retirement savings schemes could benefit from risk-sharing mechanisms between generations that take behavioral aspects into account. We introduce a novel risk-sharing mechanism that incorporates nominal loss-aversion in two ways. First, the system avoids out-of-pocket wealth transfers by sharing only a fraction of positive returns over a high-water mark of pension assets. Secondly, payments from a generation insurance fund are targeted at nominal pension shortfalls below a reference point, which mitigates the loss experience at retirement. From a simulation of overlapping generations with stochastic asset returns and interest rates we find that the generation insurance scheme outperforms a pure individual retirement scheme by a significant margin: a similar risk of pension shortfall can be achieved with a contribution rate that is up to 20% lower. The efficiency gains vary with the extent of risk sharing over generations but remain large for sensible parameter values.
Author : Eduard Willem Michiel Theodoor Westerhout
Publisher :
ISBN 13 : 9789058335050
Total Pages : pages
Book Rating : 4.3/5 (35 download)
Download or read book Intergenerational Risk Sharing in Time-consistent Funded Pension Schemes written by Eduard Willem Michiel Theodoor Westerhout and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Blitzstein
Publisher : Oxford University Press, USA
ISBN 13 : 0199204659
Total Pages : 270 pages
Book Rating : 4.1/5 (992 download)
Download or read book Restructuring Retirement Risks written by David Blitzstein and published by Oxford University Press, USA. This book was released on 2006-08-03 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highlighting retirement security as a major policy concern, this book addresses the question 'What are the risks & rewards in pensions, & what paths can stakeholders chose to solve these problems?'. It deals with employees' needs & expectations, employers' intentions & realizations, & policymakers' efforts to resolve the many challenges.
Author : Dennis Bams
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Risk Sharing in a Collective Defined Contribution Pension System written by Dennis Bams and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a collective defined contribution pension fund which aims at intergenerational risk sharing among different age cohorts using a return smoothing mechanism. Using a utility based framework, we find that approximately one third of unexpected return shocks should be directly passed on to all the cohorts in the year the shock occurs by means of the smoothing mechanism. We demonstrate that risk sharing implemented in this way is welfare improving compared to a plan with no risk sharing and more sustainable compared to defined benefit pension fund plans. Additionally, we show that the asset allocation of such a pension fund automatically corresponds to the life-cycle portfolio choice theory.
Author : John HASSLER
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book INTERGENERATIONAL RISK SHARING, STABILITY AND OPTIMALITY OF ALTERNATIVE PENSION SYSTEM written by John HASSLER and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jan Bonenkamp
Publisher :
ISBN 13 : 9789058334633
Total Pages : pages
Book Rating : 4.3/5 (346 download)
Download or read book Intergenerational Risk Sharing and Labour Supply in Collective Funded Pension Schemes with Defined Benefits written by Jan Bonenkamp and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Damiaan H. J. Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Intergenerational Sharing of Unhedgeable Inflation Risk written by Damiaan H. J. Chen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be the case in a strictly individual- or cohort-based pension scheme, as these can only lay off risks via existing financial market instruments. Hence, intergenerational sharing of these risks enhances welfare. In view of the sizes of their funded pension sectors, this would be particularly beneficial for the Netherlands and the U.K.
Author : Jacob Hacker
Publisher : OUP USA
ISBN 13 : 0199781915
Total Pages : 295 pages
Book Rating : 4.1/5 (997 download)
Download or read book Shared Responsibility, Shared Risk written by Jacob Hacker and published by OUP USA. This book was released on 2012-01-19 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can the American social welfare system be repaired so that workers and families receive adequate protection and, if necessary, provision from the ravages of the market? This book addresses this fundamental problem and analyses how the 'privatization of risk' has increased hardships for American families and increased inequality. It also proposes a series of solutions that would distribute the burdens of risks more broadly and expand the social safety net.
Author : Marco Micocci
Publisher : CRC Press
ISBN 13 : 1439817545
Total Pages : 766 pages
Book Rating : 4.4/5 (398 download)
Download or read book Pension Fund Risk Management written by Marco Micocci and published by CRC Press. This book was released on 2010-01-25 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: As pension fund systems decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans. Pension Fund Risk Management: Financial and Actuarial Modeling sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integr
