{"title":"Funding in Public Sector Pension Plans: International Evidence","authors":"Eduard H. M. Ponds, Clara Severinson, Juan Yermo","doi":"10.2139/ssrn.1889111","DOIUrl":"https://doi.org/10.2139/ssrn.1889111","url":null,"abstract":"Most countries have separate pension plan for public sector employees. The future fiscal burden of these plans can be substantial as the government usually is the largest employer, pension promises in the public sector tend to be relatively generous, and future payments have to be paid out directly from government revenues (pay-as-you-go) or by funded plans (pension funds) which tend to be underfunded. The valuation and disclosure of these promises in some countries lacks transparency, which may be hiding potentially huge fiscal liabilities that are being passed on to future generations of workers. In order to arrive at a fair comparison between countries regarding the fiscal burden of their DB public sector pension plans, this paper gathers more evidence on public sector pension plans regarding the type of pension promise and quantifies the future tax burden related to these pension promises. The reported liabilities are recalculated using both a fair value approach (local market discount rates) and a common, fixed discount rate across all countries which reflects projected growth in national income. We also estimate for a number of plans from a sample of OECD countries the size of the net unfunded liabilities in fair value terms as of the end of 2008. This fiscal burden can also be interpreted as the implicit pension debt in fair value terms.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"404 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123552053","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Financial Literacy and Pension Plan Participation in Italy","authors":"E. Fornero, C. Monticone","doi":"10.2139/ssrn.1810475","DOIUrl":"https://doi.org/10.2139/ssrn.1810475","url":null,"abstract":"By requiring individuals to decide whether to participate in (newly established) pension funds, how much to contribute and how to invest their retirement wealth, pension reforms have raised concerns about the ability of households to deal with financial decisions. Using the Bank of Italy's Survey on Household Income and Wealth, our empirical analysis shows that most individuals lack knowledge of basic concepts such as interest rates and inflation. Males, the more educated and residents in the Centre-North possess higher literacy. As for the effects, financial literacy has a positive and significant impact on the probability of pension plan participation.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133979594","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
E. Erdogan-Ciftci, E. van Doorslaer, Ángel López Nicolás
{"title":"Does Declining Health Affect the Responsiveness of Retirement Decisions to Financial Incentives?","authors":"E. Erdogan-Ciftci, E. van Doorslaer, Ángel López Nicolás","doi":"10.2139/ssrn.1763730","DOIUrl":"https://doi.org/10.2139/ssrn.1763730","url":null,"abstract":"Both the impacts of financial incentives and health on transitions into retirement and inactivity by older workers have been studied extensively in a variety of contexts but far less is known about their interaction. Guided by the option value framework, we use Spanish data from the European Community Household Panel to compare the impact of the public pension system incentives on the retirement behaviour of workers who experienced health shocks and those who remained in good health. Our evidence suggests that the impact on retirement of forward-looking incentive measures such as the peak value is conditional on being in good health. These findings imply that many of the currently proposed and enacted pension reforms aimed at modifying financial incentives may only be effective for people in sufficiently good health.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115679066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Gerwald van Gulick, Anja M. B. De Waegenaere, H. Norde
{"title":"Excess Based Allocation of Risk Capital","authors":"Gerwald van Gulick, Anja M. B. De Waegenaere, H. Norde","doi":"10.2139/ssrn.1804318","DOIUrl":"https://doi.org/10.2139/ssrn.1804318","url":null,"abstract":"In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss of that set of portfolios in excess of the amount of risk capital allocated to them. The underlying idea is that large excesses are undesirable, and therefore the goal is to determine the allocation for which the largest excess is as small as possible. We show that this allocation rule yields a unique allocation, and that it satisfies some desirable properties. We also show that the allocation can be determined by solving a series of linear programming problems.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121348102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Pension Reform with Variable Retirement Age - A Simulation Analysis for Germany","authors":"H. Fehr, M. Kallweit, F. Kindermann","doi":"10.2139/ssrn.1625789","DOIUrl":"https://doi.org/10.2139/ssrn.1625789","url":null,"abstract":"In 2007 Germany has introduced a pension reform which increases the normal retirement age from currently age 65 to 67. The present study aims to quantify the macroeconomic, welfare and efficiency consequences of this reform by means of a computable general equilibrium model with overlapping generations. Our model features the most recent demographic projections and distinguishes three skill classes with different life expectancies within generations. Most importantly, individuals choose their effective age when they exit from the labor market and start receiving pension benefits. Our quantitative analysis indicates three central results: First, the previously implemented pension reductions are not able to stabilize long-run contribution rates and increase future old-age poverty rates in Germany considerably. Second, the considered reform will increase effective retirement age by about one year and redistribute towards future cohorts. However, it hardly reduces old-age poverty since rich people are more flexible in adjusting retirement. Overall, the efficiency gains of the reform are very modest. Third, supplementary policy should raise the actuarial adjustment factor while other reform packages aimed to reduce old-age poverty may be associated with significant efficiency cost.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122934637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Monte Carlo Pricing in the Schöbel-Zhu Model and its Extensions","authors":"Alexander van Haastrecht, R. Lord, A. Pelsser","doi":"10.2139/ssrn.1576581","DOIUrl":"https://doi.org/10.2139/ssrn.1576581","url":null,"abstract":"In this paper we propose a simulation algorithm for the Schobel-Zhu (1999) model and its extension to include stochastic interest rates, the Schobel-Zhu-Hull-White model as considered in Van Haastrecht et al. (2009). Both schemes are derived by analyzing the lessons learned from the Andersen scheme on how to avoid the so-called leaking correlation phenomenon in the simulation of the Heston (1993) model. All introduced schemes are Exponentially Affine in Expectation (EAE), which greatly facilitates the derivation of a martingale correction. In addition we study the regularity of each scheme. The numerical results indicate that our scheme consistently outperforms the Euler scheme. For a special case of the Schobel-Zhu model which coincides with the Heston model, our scheme performs similarly to the QE-M scheme of Andersen (2008). The results reaffirm that when simulating stochastic volatility models it is of the utmost importance to match the correlation between the asset price and the stochastic volatility process.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131969285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Frontiers in Pension Finance and Reform: Institutional Innovation in the Netherlands","authors":"A. Bovenberg","doi":"10.2139/ssrn.1307708","DOIUrl":"https://doi.org/10.2139/ssrn.1307708","url":null,"abstract":"How to deliver adequate pension benefits at reasonable costs is a huge challenge confronting our ageing societies. This book delivers a comprehensive overview of the latest insights into pension finance, pension system design, pension governance and risk based supervision. It combines state-of-the-art analyses with innovative policy proposals to increase the efficiency and resilience of pension systems and to advance these systems’ contribution to global financial stability. Renowned pension experts offer cutting-edge guidance for future decision making and the development of best practices. This exciting exploration of the frontiers in pension finance highlights key aspects of securing long term retirement provisions.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130674747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Trends and Patterns in Foreign Trade of Central Asian Countries","authors":"R. Mogilevskii","doi":"10.2139/ssrn.3023165","DOIUrl":"https://doi.org/10.2139/ssrn.3023165","url":null,"abstract":"Introduction Central Asia is a region which possesses rich natural resources, an educated labour force, cultural diversity and strategic location, especially proximity to China. Conversely, the region is landlocked and remote from most global economic centres, it has a small population and market size, underdeveloped infrastructure, and in some areas suffers from political instability and insecurity; all of which create risks for human development. The relationship between the multiple forces driving development and risks is dynamic. Understanding these dynamics requires consistent monitoring and careful evidence-based analysis of key development factors in the region.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128884378","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Impact of Portfolio Investments on Stock Market Performance","authors":"Saeedi Ali, Dr. Javed Hussain","doi":"10.2139/ssrn.2334119","DOIUrl":"https://doi.org/10.2139/ssrn.2334119","url":null,"abstract":"Portfolio investment in the form of equity flows has a very important role in the economic sustainability and growth of investments for developing countries in the world, unless governments would ensure proper safety and risk of investor’s portfolio as well as give benefits to the investor would make sure the funds or money which emphasized and triggers foreign investment. In my research analysis, the requirements for data of some variables affecting stock market performance in the era of 1990-2010 and see the effects that would probably realizing the results. The statistical test that is applied and is conducted in the form of simple linear regression to check the influence of PI (equity flows to the stock market index and that of market volume of Karachi Stock Exchange-100 index). The results, given the information about portfolio investment which are equity flows has shown weak correlation or effect for index points and there is little predicting behavior shown, while market volume numbers effect equity flows and it remains insignificant.","PeriodicalId":357131,"journal":{"name":"Netspar Research Paper Series","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121383194","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}