Maximizing with-profit pensions without guarantees

Boado-Penas, M Carmen, Eisenberg, Julia and Kruehner, Paul (2022) Maximizing with-profit pensions without guarantees. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 38 (2). pp. 308-322.

Text
Main-dec2021.pdf - Author Accepted Manuscript
Download (761kB) | Preview

Official URL: http://dx.doi.org/10.1002/asmb.2661

Abstract

<jats:title>Abstract</jats:title><jats:p>Pension providers are currently running into trouble mainly due to the ultra‐low interest rates and the guarantees associated to some pension benefits. In this paper, we aim to reduce the pension volatility and provide adequate pension levels—with no guarantees—through a new pension design. Under this design, the individual's premium is split into an individual and a collective account, both invested in funds. When the return from the individual fund exceeds a predefined corridor, a certain number of units is transferred to or from the collective account. In this way, the volatility of the individual fund is smoothed. By controlling the corridor width, we maximize the total accumulated capital at retirement.</jats:p>

Item Type:	Article
Uncontrolled Keywords:	collective mechanism, optimization, pensions, redistribution index, volatility smoothing
Divisions:	Faculty of Science and Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	13 Jan 2022 15:44
Last Modified:	06 Sep 2023 12:09
DOI:	10.1002/asmb.2661
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3146461