Pension Risk Management eJournal最新文献

{"title":"Tontines: A Practitioner's Guide to Mortality-Pooled Investments","authors":"Richard K. Fullmer","doi":"10.2139/ssrn.3485774","DOIUrl":"https://doi.org/10.2139/ssrn.3485774","url":null,"abstract":"Tontines and similar mortality-pooled investment arrangements offer a useful and unique value proposition to the global retirement challenge.<br><br>A tontine is a financial arrangement in which members form an asset pool and agree to receive payouts from it while living and to forfeit their accounts upon death. Forfeited balances are then apportioned among the surviving members. So, members earn not only investment returns but also mortality credits for as long as they survive.<br><br>A key feature of tontines is that they pool the longevity risk of their members. Pooling diversifies the risk and allows members the assurance of lifetime income. Because they offer no guarantees, payouts will vary depending on investment performance and the mortality experience of the membership pool. Dispensing with the cost of guarantees allows tontines to be cheaper than comparable insurance products.<br><br>The study of tontine design has emerged recently as a specialty of its own. The discipline represents a paradigm shift relative to the disciplines of either traditional investments or insurance. A first step in the study of tontine design is to understand the fair tontine principle. The principle is quite strict. Yet, as a string enables a strictly bounded kite much freedom to soar, adherence to the fair tontine principle likewise enables the designer a significant (and perhaps surprising) amount of freedom.<br><br>Tontines represent an alternative product choice. They might appeal to the following:<br><br>- Employers that wish to offer defined benefit–like employee pension plans that can never become underfunded<br>- Defined contribution plan sponsors that wish to offer participants an option that provides the assurance of annuity-like lifetime income while avoiding the fiduciary liability and counterparty risk associated with selecting an insurance company as guarantor<br>- Investors who wish to increase their returns without increasing investment risk<br>- Anyone seeking the assurance of lifetime income with greater transparency and at lower cost than with insurance guarantees<br>- Policymakers who wish to encourage retiree participation in lifetime income solutions<br>- Governments that wish to create (or re-create) a market for lifetime income products in countries where annuity markets are nonexistent or dysfunctional","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125293374","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":"Is Rising Household Debt Affecting Retirement Decisions?","authors":"B. Butrica, Nadia S. Karamcheva","doi":"10.2139/SSRN.3540387","DOIUrl":"https://doi.org/10.2139/SSRN.3540387","url":null,"abstract":"Household debt among older Americans approaching retirement has increased dramatically over time. Older households have become increasingly more indebted and more leveraged. While mortgages remain the predominant type of debt among households in their 50s and 60s, student loan debt has also risen among these households in recent years. This chapter uses household survey data to show that more indebted older adults are more likely to work, less likely to be retired, and, on average, expect to work longer than those with less debt. Furthermore, the chapter examines how different types of debt such as mortgages, credit card debt, and student loans affect those decisions.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128616300","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":"Доходност на пенсионните фондове и осигурените в тях (2001-2018) (Pension Savers Real Returns & Costs in Bulgaria through 2018)","authors":"Lubomir Christoff","doi":"10.2139/ssrn.3377064","DOIUrl":"https://doi.org/10.2139/ssrn.3377064","url":null,"abstract":"<b>Bulgarian Abstract:</b> Доходността, получена от осигурените в пенсионни фондове в България не е известна, дори и на регулатора. Публикувам номиналната и реална доходност, получена от всички осигурени в универсални и доброволни фондове у нас от 2001 до 2018 г. и за последните 1, 3, 7 и 10 години, завършващи на 31.12.2018 г., изчислена по парично-претегления метод.\u2028\u2028<br><br>Реалната доходност, получена от осигурените в УПФ е 0.0 % (2001-2018)\u2028<br><br>Реалната доходност, получена от осигурените в ДПФ е отрицателна и равна на -0.6 % средногодишно (2001-2018)<br><br>Пенсионните фондове в България са неизгоден пенсионен продукт, тъй като демонтстрират доходност под пазарната срещу такси над пазарните. Осигурените биха могли да получат по-добра доходност при по-нисък риск и такси от пасивно управляван портфейл от само два борсово търгувани фонда. <br><br>\u2028УПФ са и негоден пенсионен продукт, който не може да осигури допълнителна пенсия и вместо това намалява пенсионните доходи на мнозинството от осигурените. Причината е по-ниската от необходимата доходност, която да позволи пенсия от УПФ да компенсира намалението на пенсията от държавното обществено осигуряване за тези, които се осигуряват в УПФ.<br>ДПФ - доброволни пенсионни фондове;<br>УПФ - универсални пенсионни фондове.<br><br><b>English Abstract:</b> \u2028Pension savers real return credited on their accounts are unknown both, publicly and to the regulator. Therefore, published here are nominal and real returns, received by pension savers in universal and voluntary funds in Bulgaria in 2001-2018 and for the last 1, 3, 7 and 10 years, calculated as money-weighted returns.<br><br>The real pension savers return in universal pension funds in 2001-2018 was 0.0 %.<br><br>The real pension savers return in voluntary pension funds in 2001-2018 was negative 0.6 %.<br><br>Pension funds in Bulgaria have proven unremunerative pension product over the past seventeen years as their returns have been lower while fees and charges - higher than could have been obtained from a passively managed portfolio, implemented with just two ETFs.<br><br>In addition universal pension funds are unfit as they stand no chance of securing supplementary pensions to their customers due to their insufficient returns and, therefore, inability to offset the state pesnion reduction for those who have “insured” in universal pension funds.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130559966","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":"Tontine Bond Ladders","authors":"Richard K. Fullmer, Michael J. Sabin","doi":"10.2139/ssrn.3373251","DOIUrl":"https://doi.org/10.2139/ssrn.3373251","url":null,"abstract":"Tontines are useful vehicles for providing retirement income. Their payouts, however, will necessarily vary as a function of investment returns and the mortality experience of the membership pool. Retirees who place a high value on income stability will desire to minimize the variability of these payouts. This can be accomplished via a large membership pool to minimize the effect of mortality experience volatility and by using immunizing cash-flow matching techniques to minimize the effect of investment volatility. A structured bond ladder can achieve this quite effectively.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128904411","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":"Multi-Period Mean CVAR Asset Allocation: Is it Advantageous to be Time Consistent?","authors":"P. Forsyth","doi":"10.2139/ssrn.3340194","DOIUrl":"https://doi.org/10.2139/ssrn.3340194","url":null,"abstract":"We formulate the multi-period, time consistent mean-CVAR (Conditional Value at Risk) asset allocation problem in a form amenable to numerical computation. Our numerical algorithm can impose realistic constraints such as: no shorting, no-leverage, and discrete rebalancing. We focus on long term (i.e. 30 year) strategies, which would be typical of an investor in a Defined Contribution (DC) pension plan. A comparison with pre-commitment mean-CVAR strategies shows that adding the time consistent constraint compares unfavourably with the pure pre-commitment strategy. Since the pre-commitment strategy computed at time zero is identical to a time consistent strategy based on an alternative objective function, the pre-commitment mean-CVAR strategy is implementable in this case. Hence it would seem that there is little to be gained from enforcing time consistency.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121407814","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":"Linking Annuity Benefits to the Longevity Experience: A General Framework","authors":"A. Olivieri, E. Pitacco","doi":"10.2139/ssrn.3326672","DOIUrl":"https://doi.org/10.2139/ssrn.3326672","url":null,"abstract":"The uncertainty regarding financial returns and the life expectancy, joint to the reduced social security benefits, increasingly expose individuals to the risk of outliving their post-retirement assets. However, the demand for longevity guarantees remains low, due to high costs. The providers, on their side, may be reluctant to offer non-adjustable longevity guarantees, as the risk is long-term and difficult to predict. It is therefore convenient, from both the point of view of the individual and the provider, to reconsider the design of longevity guarantees. In particular, a participating structure, providing a link to some longevity experience, could allow a sharing of losses, and possibly profits, resulting in a reduction of the cost of the retained guarantee. The literature review suggests a number of alternatives to define a longevity linking arrangement, but the topic is not yet completely explored. It is useful, in particular, to have a common framework, under which the various solutions can be interpreted and compared, also with a view to the trade-off between the retained risk and the cost of the guarantee. Developing a general framework describing longevity-linked post-retirement benefits is the main purpose of this paper. Allowing for aggregate longevity risk, we then examine suitable solutions for insurance products.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116643831","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":"Long-term Investment Management with Minimax Regret: A Template for Pension Funds?","authors":"D. Edelman, Ekaterina Goryagina","doi":"10.2139/ssrn.3264720","DOIUrl":"https://doi.org/10.2139/ssrn.3264720","url":null,"abstract":"A method of pension portfolio management with Minimax Regret with respect to the best hindsight constant-mix portfolio is presented. This is achieved via a BHCM derivative contract, where several approaches for pricing such a derivative are exhibited. A set of Empirical comparisons with more traditional approaches using data from Germany is presented. For the data examined, the resulting comparison demonstrates a clear superiority of the Minimax-based approach over the traditional from the point of view of both long-term cumulative performance and risk profile as measured chiefly by Drawdown.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126856254","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":"Social Security Programs and Retirement Around the World: Reforms and Retirement Incentives – Introduction and Summary","authors":"A. Börsch-Supan, Courtney C. Coile","doi":"10.3386/W25280","DOIUrl":"https://doi.org/10.3386/W25280","url":null,"abstract":"This is the introduction and summary to the ninth phase of an ongoing project on Social Security Programs and Retirement Around the World. This project, which compares the experiences of a dozen developed countries, was launched in the mid 1990s, following decades of decline in the labor force participation rate of older men. The first several phases of the project document that social security program provisions can create powerful incentives for retirement that are strongly correlated with the labor force behavior of older workers. Subsequent phases have explored how disability program provisions affect retirement, whether there is a link between older employment and youth unemployment, and whether older individuals are healthy enough to work longer. In the two decades since the project began, the dramatic decline in men’s labor force participation has been replaced by sharply rising participation rates. Older women’s participation has increased dramatically as well. Over this same period, countries have undertaken numerous reforms of their social security programs, disability programs, and other public benefit programs available to older workers. In this ninth phase of the project, we explore how the financial incentive to work at older ages has evolved from 1980 to the present. We highlight the important role of reforms in these changing incentives and examine how changing incentives may have affected retirement behavior.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126873405","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":"What Drives UK Defined Benefit Pension Funds' Investment Behaviour?","authors":"Graeme Douglas, Matt Roberts-Sklar","doi":"10.2139/ssrn.3261257","DOIUrl":"https://doi.org/10.2139/ssrn.3261257","url":null,"abstract":"We have developed a structural model to explain defined benefit (DB) pension funds’ investment behaviour. The model is calibrated to the aggregate UK DB pension fund and four different cohorts of funds. We use the model to estimate how pension funds can be expected to adjust their asset portfolios in the face of different exogenous shocks. Our results suggest that pension funds are sensitive to shocks that change their funding ratios — that is, the ratio of pension assets to liabilities. Deteriorations in funding ratios encourage pension funds supported by financially weaker corporate sponsors to switch some equity holdings into bonds. This is because reduced funding ratios weigh on the perceived vulnerability of already weak corporate sponsors. But similar deteriorations in funding ratios encourage funds supported by financially stronger corporates to increase their equity holdings to benefit from their higher expected returns. In contrast, shocks that result in material improvements in funding ratios — for example, resulting from a large rise in interest rates — encourage all pension funds to increase their bond holdings to ‘lock in’ those improved positions.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125242459","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 Fund Equity Performance: Patience, Activity or Both?","authors":"Tanja Artiga González, I. van Lelyveld, K. Lučivjanská","doi":"10.2139/ssrn.3255023","DOIUrl":"https://doi.org/10.2139/ssrn.3255023","url":null,"abstract":"Abstract We study how pension fund (out)performance is influenced by a) a pension fund’s activity, i.e., how much the pension fund deviates in its stock allocation from typical pension fund behavior, and b) whether the pension fund is patient in exploiting investment opportunities (measured by stock holding duration). We do not find that high activity or higher holding duration, separately, lead to higher risk adjusted returns on average. However, if high activity is paired with long-term holdings, the pension fund’s performance increases. Quantitatively, if an active pension fund increases its duration by one standard deviation, annual returns tend to increase by 2.3%. Our findings indicate that some pension funds are patient enough to exploit long-term investment opportunities.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126307925","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}