Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty



Alonso-García, J, Boado-Penas, MDC and Devolder, P
(2017) Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty. Scandinavian Actuarial Journal, 2018 (02). pp. 85-108.

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Abstract

The notional defined contribution model combines pay-as-you-go financing and a defined contribution pension formula. This paper aims to demonstrate the extent to which liquidity and solvency indicators are affected by fluctuations in economic and demographic conditions and to explore the introduction of an automatic balancing mechanism (ABM) into the pension scheme. We demonstrate that the introduction of an ABM reduces the volatility of the buffer fund and that, in most cases, the automatic mechanism that re-establishes solvency produces the highest value of the risk-adjusted notional factor.

Item Type: Article
Additional Information: peerreview_statement: The publishing and review policy for this title is described in its Aims & Scope. aims_and_scope_url: http://www.tandfonline.com/action/journalInformation?show=aimsScope&journalCode=sact20
Uncontrolled Keywords: Actuarial analysis,, public pensions, retirement, solvency,, stochastic processes,, risk
Depositing User: Symplectic Admin
Date Deposited: 24 May 2017 06:17
Last Modified: 19 Jan 2023 07:04
DOI: 10.1080/03461238.2017.1304984
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3007613