Target benefit pension plan with longevity risk and intergenerational equity

Author:

Rong Ximin,Tao Cheng,Zhao Hui

Abstract

AbstractWe study a stochastic model for a target benefit pension plan suffering from rising longevity and falling fertility. Policies for postponing retirement are carried out to hedge the payment difficulties caused by the aging population. The plan members’ contributions are set in advance while the pension payments reflect intergenerational equity by a target payment level and intergenerational risk sharing by an adjustment. The pension fund is invested in both a risk-free asset and a risky asset. Applying the stochastic optimal control methods, we derive analytic solutions for optimal investment and benefit payment strategies which minimize the benefit risk. Besides, an optimal delayed retirement age which can hedge against the aging phenomenon under certain parameters is given. Therefore, it can provide a basis for quantifying the delay of retirement time.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference40 articles.

1. Intergenerational risk-sharing and risk-taking of a pension fund

2. United Nations, Department of Economic and Social Affairs (2020) Government policies to address population ageing. Population facts No. 2020/1.

3. Broken Limits to Life Expectancy

4. NDC Schemes and Heterogeneity in Longevity

5. Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan;Wang;Insurance: Mathematics and Economics,2019

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3