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An Analysis of Guaranteed Lifetime Withdrawal Benefits Linked to Target Volatility Portfolio 与目标波动率组合挂钩的保证终身提取收益分析
Pension Risk Management eJournal Pub Date : 2016-02-01 DOI: 10.2139/ssrn.2743780
Hassan Jawaid
{"title":"An Analysis of Guaranteed Lifetime Withdrawal Benefits Linked to Target Volatility Portfolio","authors":"Hassan Jawaid","doi":"10.2139/ssrn.2743780","DOIUrl":"https://doi.org/10.2139/ssrn.2743780","url":null,"abstract":"GLWB is currently the most popular type of a variable annuity. GWLB promises the policyholder to annually withdraw a fixed amount from his investment account for the rest of his life, even if the value of the investment account drops to zero. However, from the insurer's point of view, GLWB contains several types of risk such as mortality risk, interest rate risk and financial risk. Target volatility strategy is used to create a dynamic re-balancing portfolio such that the overall volatility of portfolio maintains a stable level at all time. The strategy shifts the allocation of equity asset to non-risky asset in order to protect the portfolio from equity market crashes. Many insurance companies offer or consider GLWB linked to target volatility portfolios. This paper provides an extensive analysis of the GLWB linked to target volatility portfolio. In particular, we investigate the impact of stochastic volatility and mortality intensity on the pricing of the GLWB linked to target volatility portfolio. Moreover, we examine the lifetime probability of ruin for the target volatility portfolios.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115447354","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}
引用次数: 3
A Quick Tool to Forecast VaR Using Implied and Realized Volatilities 使用隐含和已实现波动率预测VaR的快速工具
Pension Risk Management eJournal Pub Date : 2016-01-12 DOI: 10.2139/ssrn.2714443
Francesco Cesarone, Stefano Colucci
{"title":"A Quick Tool to Forecast VaR Using Implied and Realized Volatilities","authors":"Francesco Cesarone, Stefano Colucci","doi":"10.2139/ssrn.2714443","DOIUrl":"https://doi.org/10.2139/ssrn.2714443","url":null,"abstract":"We propose here a naive model to forecast ex-ante Value-at-Risk (VaR) using a shrinkage estimator between realized volatility estimated on past return time series, and implied volatility extracted from option pricing data. Implied volatility is often indicated as the operators expectation about future risk, while the historical volatility straightforwardly represents the realized risk prior to the estimation point, which by definition is backward looking. In a nutshell, our prediction strategy for VaR uses information both on the expected future risk and on the past estimated risk.We examine our model, called Shrinked Volatility VaR, both in the univariate and in the multivariate cases, empirically comparing its forecasting power with that of two benchmark VaR estimation models based on the Historical Filtered Bootstrap and on the RiskMetrics approaches.The performance of all VaR models analyzed is evaluated using both statistical accuracy tests and efficiency evaluation tests, according to the Basel II and ESMA regulatory frameworks, on several major markets around the world over an out-of-sample period that covers different financial crises.Our results confirm the efficacy of the implied volatility indexes as inputs for a VaR model, but combined together with realized volatilities. Furthermore, due to its ease of implementation, our prediction strategy to forecast VaR could be used as a tool for portfolio managers to quickly monitor investment decisions before employing more sophisticated risk management systems.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124693468","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}
引用次数: 3
The Effects of Political Competition on the Funding and Generosity of Public-Sector Pension Plans 政治竞争对公共部门养老金计划筹资和慷慨程度的影响
Pension Risk Management eJournal Pub Date : 2016-01-07 DOI: 10.2139/SSRN.2633565
Sutirtha Bagchi
{"title":"The Effects of Political Competition on the Funding and Generosity of Public-Sector Pension Plans","authors":"Sutirtha Bagchi","doi":"10.2139/SSRN.2633565","DOIUrl":"https://doi.org/10.2139/SSRN.2633565","url":null,"abstract":"In politically competitive jurisdictions, there can be strong electoral incentives to underfund public pensions in order to keep current taxes low. I examine this hypothesis using panel data for 2,000 municipal pension plans from Pennsylvania. The results suggest that as a municipality becomes more politically competitive, it tends to have pension plans that are less funded, more generous, and use higher interest rates at which to discount future actuarial liabilities. An increase in the level of political competition by one standard deviation leads to a decline in the actuarial funded ratio of about 7â10 percent, an increase in the annual average retirement benefits of about $470â620 per retiree, and an increase in the interest rate for discounting actuarial liabilities of about 5 basis points. Instrumental Variable (IV) estimates generated using demographic characteristics of the population as instruments corroborate these findings.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"32 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114016935","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}
引用次数: 14
Basis Risk and Pensions Schemes: A Relative Modelling Approach. 基差风险和养老金计划:一个相对的建模方法。
Pension Risk Management eJournal Pub Date : 2016-01-01 DOI: 10.2139/ssrn.3614048
A. Hunt, D. Blake
{"title":"Basis Risk and Pensions Schemes: A Relative Modelling Approach.","authors":"A. Hunt, D. Blake","doi":"10.2139/ssrn.3614048","DOIUrl":"https://doi.org/10.2139/ssrn.3614048","url":null,"abstract":"For many pension schemes, a shortage of data limits their abilityto use sophisticated stochastic mortality models to assess and managetheir longevity risk. In this study, we develop a relative model formortality, which compares the evolution of mortality rates in a sub-population with that observed in a larger reference population. Weapply this relative approach to data from the CMI Self-AdministeredPension Scheme study, using UK population data as a reference. Wethen use the relative approach to investigate the potential differencesin the evolution of mortality rates between these two populations andfind that, in many practical situations, basis risk is much less of aproblem than is commonly believed.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117158217","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}
引用次数: 2
On the Asset Allocation of a Default Pension Fund 论违约养老基金的资产配置
Pension Risk Management eJournal Pub Date : 2016-01-01 DOI: 10.2139/ssrn.2711959
Magnus Dahlquist, Ofer Setty, Roine Vestman
{"title":"On the Asset Allocation of a Default Pension Fund","authors":"Magnus Dahlquist, Ofer Setty, Roine Vestman","doi":"10.2139/ssrn.2711959","DOIUrl":"https://doi.org/10.2139/ssrn.2711959","url":null,"abstract":"We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals and their holdings inside and outside the pension system, we find substantial heterogeneity among default investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model incorporating a DC pension account and realistic investor heterogeneity. We examine the optimal asset allocation for different realized equity returns and investors and compare it with age-based investing. The optimal asset allocation leads to less inequality in pensions while it moderates the risks through active rebalancing.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124472454","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}
引用次数: 52
A Mean Variance Evaluation of Gradual Disinvestment Strategy 渐进式撤资策略的均值方差评价
Pension Risk Management eJournal Pub Date : 2015-12-15 DOI: 10.2139/ssrn.2732789
E. Yayi
{"title":"A Mean Variance Evaluation of Gradual Disinvestment Strategy","authors":"E. Yayi","doi":"10.2139/ssrn.2732789","DOIUrl":"https://doi.org/10.2139/ssrn.2732789","url":null,"abstract":"This paper evaluates the theoretical validity of gradual disinvestment mechanism in risky assets depending on age or the distance to retirement, suggested by professional financial planners. In the mean-variance analysis framework, I compare this strategy with another one whose share invested in risky assets remains constant during the life of the investment and equal to the arithmetic average of the portion invested in risky assets in the disinvestment policy. Under the hypothesis of independent and identically distributed assets returns, I show that the constant profile investment strategy has a higher expected return and less risk than the strategy which consists in decreasing risky assets' share.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122751090","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}
引用次数: 0
Supporting Materials for ‘The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes’ “最多人的最大利益:压力设定受益计划受托人和赞助雇主的早期干预策略研究”的支持材料
Pension Risk Management eJournal Pub Date : 2015-12-01 DOI: 10.2139/ssrn.3610351
D. Harrison, D. Blake
{"title":"Supporting Materials for ‘The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes’","authors":"D. Harrison, D. Blake","doi":"10.2139/ssrn.3610351","DOIUrl":"https://doi.org/10.2139/ssrn.3610351","url":null,"abstract":"Supporting Materials for \"The Greatest Good for the Greatest Number: An examination of early intervention strategies for trustees and sponsoring employers of stressed defined benefit schemes\"","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130918362","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}
引用次数: 0
Mortality Heterogeneity and Systematic Mortality Improvement 死亡率异质性和系统性死亡率改善
Pension Risk Management eJournal Pub Date : 2015-12-01 DOI: 10.2139/ssrn.2701650
Mengyi Xu, M. Sherris, Ramona Meyricke
{"title":"Mortality Heterogeneity and Systematic Mortality Improvement","authors":"Mengyi Xu, M. Sherris, Ramona Meyricke","doi":"10.2139/ssrn.2701650","DOIUrl":"https://doi.org/10.2139/ssrn.2701650","url":null,"abstract":"Insurers and pension funds provide life annuities and pensions that are impacted by both aggregate mortality improvement and individual mortality heterogeneity. Aggregate population mortality trends have shown significant improvement over long periods of time. Individual mortality heterogeneity arises from differing risk characteristics across individuals. This paper assesses the extent that systematic mortality improvement varies with individual risk characteristics. To do this, a Lee-Carter model is used to assess if mortality improvement varies for groups of individuals with similar risk characteristics along with an individual mortality model that allows for heterogeneity with time trends to assess systematic risk. Data from the U.S. Health and Retirement Study (HRS) is used since this provides longitudinal, individual level data. Our results are highly relevant to life insurers, pension funds and regulators assessing the future impact of improvement trends in mortality on their premiums and liabilities. Mortality trends differ across individuals reflecting the different risk factors and particularly the prevalence of different diseases such as high blood pressure, cancer and heart problems. Models that are based on aggregate population level trends and differing only by gender and age are not adequate in quantifying mortality trends and risks.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129287450","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}
引用次数: 1
The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes 最多数人的最大利益:压力固定收益计划受托人和赞助雇主的早期干预策略研究
Pension Risk Management eJournal Pub Date : 2015-12-01 DOI: 10.2139/ssrn.3610190
D. Harrison, D. Blake
{"title":"The Greatest Good for the Greatest Number: An Examination of Early Intervention Strategies for Trustees and Sponsoring Employers of Stressed Defined Benefit Schemes","authors":"D. Harrison, D. Blake","doi":"10.2139/ssrn.3610190","DOIUrl":"https://doi.org/10.2139/ssrn.3610190","url":null,"abstract":"Freeing an employer from the burden of its pension fund, whilst avoiding insolvency can create extra value which can be shared with the members to achieve a better outcome.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114535022","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}
引用次数: 1
Intended and Unintended Effects of Unconditional Cash Transfers: The Case of Bolivia's Renta Dignidad 无条件现金转移的有意和无意影响:玻利维亚尊严租赁的案例
Pension Risk Management eJournal Pub Date : 2015-12-01 DOI: 10.2139/ssrn.2729734
Werner L. Hernani-Limarino, Gary Mena
{"title":"Intended and Unintended Effects of Unconditional Cash Transfers: The Case of Bolivia's Renta Dignidad","authors":"Werner L. Hernani-Limarino, Gary Mena","doi":"10.2139/ssrn.2729734","DOIUrl":"https://doi.org/10.2139/ssrn.2729734","url":null,"abstract":"This document presents a quasi-experimental impact evaluation of Bolivia's Renta Dignidad, a universal and non-contributory old age pension. Causal effects on direct, future, and indirect beneficiaries are identified, taking advantage of a reduction in age of eligibility from 65 to 60 years in December 2007. Differencein- difference and changes-in-changes approaches are used to calculate average and quantile treatment effects. For women, non-contributory pensions have, on average, increased their households' non-labor income. This has decreased their labor supply and labor earnings, in turn decreasing households' labor income and thus reducing, ceteris paribus, the program's effect on total per capita household income. Unexpectedly, the program did not have significant effects on men's welfare, investments and labor market outcomes. The results also suggest that additional resources were neither consumed nor invested in health, education, or the purchase of durables. Households most likely held the additional resources and invested in dwelling improvements.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132736252","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}
引用次数: 14
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