PSN: Pensions & Retirement (Topic)最新文献

{"title":"Demography and Provisions for Retirement: The Pension Composition, an Equilibrium Approach","authors":"B. V. Van Praag, J. Hop","doi":"10.2139/ssrn.3200406","DOIUrl":"https://doi.org/10.2139/ssrn.3200406","url":null,"abstract":"Pensions may be provided for in a modern society by several methods, viz., voluntary individual savings, mandatory fully funded occupational pension systems, and mandatory social security financed by pay-as-you-go. The specific mixture of the three systems we will call the pension composition. We assume that individual workers decide about their own individual savings, that the fully funded occupational system is decided upon by the age cohort of the median worker and that social security is decided upon by the median voter. For a given demography and interest rate the joint result of those decisions is a Pareto- equilibrium. Nowadays most of capital supply stems from individual and institutionalised pension savings. For ease of exposition we will assume that individual and collective pension savings are the only source of capital supply. When capital supply equals demand from industry there is equilibrium on the capital market with a corresponding equilibrium interest rate. In this paper we assume a demography with hundred age brackets and we investigate how changes in the birth and survival rates affect the pension composition and the capital market equilibrium. Our conclusion is that the demographic effects are considerable not only for the resulting pension composition, but also for macro-economic variables as the wage rate, the interest rate and the capital-income ratio. It follows that the pension composition in general and social security in particular is determined by the demography and cannot be used as long-term political instrument. We find that this is relevant for the present century, where birth and mortality rates in most western countries are steeply declining.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"365 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125830603","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":"Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing","authors":"M. Sherris, Yajing Xu, Jonathan Ziveyi","doi":"10.2139/ssrn.3121520","DOIUrl":"https://doi.org/10.2139/ssrn.3121520","url":null,"abstract":"The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable retirement indexes, incorporating uncertain real interest rates using an affine dynamic Nelson-Siegel model. A multi-cohort aggregate, or systematic, continuous time affine mortality model is used where each risk factor is assigned a market price of mortality risk. To calibrate the market price of longevity risk, a common practice is to make use of market prices, such as longevity-linked securities and longevity indices. We use the BlackRock CoRI Retirement Indexes, which provides a daily level of estimated cost of lifetime retirement income for 20 cohorts in the U.S. Although investment in the index directly is not possible, individuals can invest in funds that track the index. For these 20 cohorts, we assume risk premiums for the common factors are the same across cohorts, but the risk premium of the factors for a specific cohort is allowed to take different values for different cohorts. The market prices of longevity risk are then calibrated by matching the risk-neutral model prices with BlackRock CoRI index values. Closed-form expressions and prices for European options on longevity zero-coupon bonds are derived using the model and compared to prices for standard options on zero coupon bonds. The impact of uncertain mortality on long term option prices is quantified and discussed.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123208761","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":"The Impact of Public Pension Funds and Other Limited Partners on the Governance of Venture Capital Funds","authors":"V. Atanasov, T. Hall, V. Ivanov, Kate Litvak","doi":"10.2139/ssrn.3088998","DOIUrl":"https://doi.org/10.2139/ssrn.3088998","url":null,"abstract":"We examine whether the reinvestment choices of public pension funds (PPFs) affect the governance of venture capital funds. We start with a hand-collected dataset of litigation against venture capitalists (VCs) that provides significant shocks to the reputation of VCs. We combine that information with detailed data on limited partner investments in VCs provided by LP Source and test whether PPFs respond differently to the litigation shocks compared to other types of limited partners. Our triple-difference framework reveals that VCs who were defendants in lawsuits suffer a significant subsequent decline in investment by university endowments and several other types of institutional investors, but experience an increase in the investment share of PPFs. Pension funds are about three times more likely to re-invest in post-lawsuit funds offered by litigated VCs. The additional pension fund investments thus partially compensate for the shortfall in post-lawsuit fundraising caused by the exodus of other investors. Our results indicate that the investment choices of PPF managers reduce the effectiveness of reputational penalties imposed by other limited partners in venture capital funds.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121428358","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":"Managing Longevity Risk by Implementing Sustainable Full Retirement Age Policies","authors":"Ralph Stevens","doi":"10.1111/jori.12153","DOIUrl":"https://doi.org/10.1111/jori.12153","url":null,"abstract":"In this article, we investigate the effect of five policies to link the retirement age to (forecasted) survival probabilities. We investigate the effect of these policies on the distribution of the (future) full retirement age and on longevity risk in the discounted future payments. Our investigated policies effectively hedge longevity risk, but do lead to substantial uncertainty in the retirement age and the expected number of years in retirement. We find that policies based on present values lead to a higher annuity factor than policies based on expected remaining years in retirement. Our results can explain the differences between the proposed automatic rule to adjust the full retirement age in the United Kingdom (defined contribution pension schemes) and the Netherlands (defined benefit pension schemes).","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117993811","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":"Government's Costs for Retirement Accounts","authors":"C. Reed","doi":"10.2139/ssrn.3042608","DOIUrl":"https://doi.org/10.2139/ssrn.3042608","url":null,"abstract":"Americans are considering major reforms to income tax, both personal and corporate. In order to fund the desired reduction in tax rates it is necessary to broaden the tax base. All tax deductions, credits and exempt incomes (tax expenditures) are under review. On that list are the tax sheltered treatments of retirement accounts. \u0000This paper analyzes the government’s costs for both Traditional and Roth retirement accounts. It shows that the cost to government is not equal to the benefit for savers. Both accounts have the cost of permanently sheltering profits from tax. Traditional accounts have an added cost when withdrawals are taxed at lower rates than at contribution. They also have a third factor; a benefit from leveraged investing. Essentially the government borrows at low Treasury debt rates and gives it to savers to invest (on the government’s behalf) earning higher portfolio rates. \u0000Policy changes are considered in light of the accounts’ different costs and benefits. In many likely scenarios Traditional accounts are cheaper. But the opposite is also true. It depends on the relationship between the Traditional account’s second and third factors. Policy change should protect the third factor’s benefit and delete the second factor’s cost.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127151227","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":"은퇴가 가계 재무건전성에 미치는 영향: 50대 이상 가계를 중심으로 (The Effects of the Retirement on Households' Financial Soundness)","authors":"Eunyoung Baek","doi":"10.2139/ssrn.3084460","DOIUrl":"https://doi.org/10.2139/ssrn.3084460","url":null,"abstract":"<b>Korean Abstract:</b> 사회 고령화에 따른 은퇴 준비의 필요성에 대한 문제 제기가 지속되면서 은퇴 준비 필요성에 대한 인식은 높아지고 있다. 그러나 여전히 은퇴준비는 부족한 실정이며, 준비 안 된 은퇴로 인한 문제는 점점 심각해지고 있다. 은퇴 준비의 필요성은 인식하면서도 현실적으로 많은 가계들은 은퇴를 준비하기에는 현재 경제 상황이 어렵다는 이유를 들어 은퇴 준비를 미루고 있다. 이에 본 연구에서는 50대 이상 가계를 대상으로 우선 현재 재무상황을 진단해보고, 은퇴가 가계 재무건전성에 미치는 영향을 살펴보고자 하였다. 2015년 가계금융복지 데이터를 활용하여 가구주가 50대 이상인 5,241개 가계를 분석한 결과, 우리나라 50대 이상 가계의 재무상태는 가계수지 및 부채측면에서는 다수의 가계가 건전성을 유지하고 있었으나 유동성과 자산 축적 부분은 취약한 것으로 나타났다. 조사대상 가계를 은퇴가계와 비은퇴가계로 구분하여 재무적 측면을 비교해 본 결과, 은퇴가계와 비은퇴가계는 재무적으로 확연히 차이가 나는 그룹으로 나타났다. 소득, 지출, 자산구조면에서 모두 차이를 보였는데, 지출과 소득 모두 은퇴가계가 더 적었으며 지출보다 소득격차가 더 큰 것으로 나타났다. 은퇴가계의 자산은 비은퇴가계의 62% 수준으로 주택을 제외한 다른 자산들은 비은퇴가계의 절반 수준이었다. 소득 구조적인 측면에서는 비은퇴가계가 소득의 80%를 근로 및 사업소득을 통해 얻는 반면, 은퇴가계는 전체 소득의 77% 가량을 이전소득을 통해 얻는 것으로 나타났다. 은퇴가 가계 재무건전성에 미치는 영향을 분석한 결과, 재무건전성에 영향을 미치는 다른 요인들을 모두 통제한 후에도 은퇴관련 변수들이 유의미한 영향을 미치는 것으로 나타났다. 은퇴준비여부는 모든 재무건전성 지표에 영향을 주는 것으로 나타났으며 은퇴준비를 하지 못했을 경우에는 모든 재무건전성 지표를 악화시키는 것으로 나타났다. 또한 은퇴 여부 자체만으로도 가계수지지표나 비상자금 지표를 충족시킬 가능성은 절반 수준으로 떨어졌으며, 가계수지위험수준에 놓일 확률은 1.8배나 증가하였다. 따라서 은퇴준비 여부와 관련 없이 은퇴 자체만으로도 가계수지나 유동성에 현저한 영향을 줄 수 있음을 고려하여 은퇴 전에 충분한 유동자금 확보와 소득을 다양화할 수 있는 방안을 강구할 필요가 있다. <b>English Abstract:</b> Although the importance of the preparation of retirement has been emphasized for decades, the retirement preparation is still far below what can reasonably be expected. The problems related to insufficient retirement preparation are getting more severe. Still, many households complain that they cannot prepare for their retirement because their current financial condition is not in good shape either. Therefore, the purpose of the study were to examine the current financial soundness of the households in their 50's and over, to compare the differences of financial soundness between retirees and non-retirees and to examine the effects of retirement on households' financial soundness. Using the 2015 Households' Finance․Welfare Survey, 5,241 households were examined. The results showed that not many households in their 50’s and over fulfilled the liquidity ratio and financial asset ratio. The financial structure between retirees and non-retirees were totally different indicating that the level of assets of retirees was the half of the non-retirees and the level of income of retirees was only 37% of the non-retirees. The retirees got most of their income from transfer income, such as pension, but the 80% of the non- retirees' income was from employment and business. The results indicated that the effects of retirement related factors on households' financial soundness were significant controlling other important factors on financial soundness. Not preparing for retirement definitely worsened the households' financial soundness. Even retirement itself affected liquidity ratio and income to expenditure ratio of the households.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130484960","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":"Investing in Sustainability or Feeding on Stranded Assets? The Norwegian Government Pension Fund Global","authors":"Beate Sjåfjell, H. R. Nilsen, B. Richardson","doi":"10.2139/SSRN.2988816","DOIUrl":"https://doi.org/10.2139/SSRN.2988816","url":null,"abstract":"Access to finance is crucial to achieve the fundamental transition \u0000necessary to meet the grand challenge of our time: securing a safe and \u0000just operating space within planetary boundaries.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134121341","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":"Bigger CPP, Bigger Risks: What 'Fully Funded' Expansion Means and Doesn't Mean","authors":"W. Robson, A. Laurin","doi":"10.2139/SSRN.2947023","DOIUrl":"https://doi.org/10.2139/SSRN.2947023","url":null,"abstract":"Younger Canadians are at a material risk of picking up the tab should the soon-to-be expanded Canada Pension Plan experience investment return shortfalls, according to a new C.D. Howe Institute report. In “Bigger CPP, Bigger Risks: What “Fully Funded” Expansion Means and Doesn’t Mean,” authors William B.P. Robson and Alexandre Laurin assess the risks of an expanded CPP and suggest how federal and provincial finance ministers can mitigate them.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126509942","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":"Does Providing Informal Elderly Care Hasten Retirement? Evidence from Japan","authors":"Yoko Niimi","doi":"10.1111/rode.12395","DOIUrl":"https://doi.org/10.1111/rode.12395","url":null,"abstract":"This paper examines the implications of providing care to elderly parents for adult children’s retirement plans using micro data from a Japanese survey. We find no significant effect of caregiving on family caregivers’ planned retirement age if we do not take into account caregiving intensity but find a negative and significant effect onretirement plans for intensive caregivers, particularly among women. These findings suggest that relying on family members to provide elderly care can pose a serious challenge to the ongoing efforts of the government to promote the labor supply of women and the elderly to address the shrinkage of the working-age population in Japan. The estimation results suggest that ensuring access to formal care services can help family members reconcile their paid work with caregiving requirements, thereby alleviating the adverse effect of caregiving on their retirement plans. The results also suggest that the financial burden of formal care services could require caregivers to postpone retirement in some cases.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115031344","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":"Regulation and Pension Fund Risk-Taking","authors":"L. Boon, M. Brière, S. Rigot","doi":"10.2139/ssrn.2475820","DOIUrl":"https://doi.org/10.2139/ssrn.2475820","url":null,"abstract":"We investigate the extent to which regulations governing investment, valuation and funding affect the riskiness of defined benefit pension funds' asset allocation. We compare the regulatory frameworks of public, corporate and industry pension funds in the United States, Canada and the Netherlands over 1992–2011. Derived from panel data analysis of a unique set of asset allocation details for close to 600 funds, our results highlight that regulatory factors are more economically significant than pension funds' characteristics in shaping asset allocation. In particular, risk-based capital requirements and mark-to-market valuation are both associated with a 7% lower risky asset exposure, especially equities, regardless of market conditions. By contrast, the exposure of a pension fund subject to a 100% funding requirement does not differ significantly from that of an unconstrained pension fund during normal times, but the constrained pension fund invests 4% less in risky assets during a financial crisis. In line with theoretical predictions, we find that risk-based capital requirements and minimum funding limits have different consequences for pension funds’ risk-taking.","PeriodicalId":430314,"journal":{"name":"PSN: Pensions & Retirement (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126781726","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}