Optimal Pension System: Case Study

• Autorzy: Alexander Nepp , Viola Larionova , Ostap Okhrin , Alexander Sesekin
• Języki publikacji: EN

Abstrakty

EN

Any reforms of pension systems inevitably involve their optimization, which is a challenging task since pension systems are dynamic, multidimensional and are affected by a variety of demographic, investment-related, and institutional random impact factors. The model described in this article aims at demonstrating the dependence of the target functions of pension systems on such factors. The current research sheds light on the influence of demographic parameters on funded and unfunded pension systems and shows the importance of institutional risks in both types of systems. The values of the state-regulated parameters for 2030 are specified, which allows us to maximize the key target functions: the replacement rate and pension benefits. Further, the results of empirical analysis of the impact factors affecting pension systems of OECD countries are described. The novelty of the paper lies in the analytical and quantitative methods used for the optimization of the pension system on the basis of the replacement rate.(original abstract)

Słowa kluczowe

EN

Pension systems in the world; Demography; Investment risk; Pension system reform

PL

Systemy emerytalne na świecie; Demografia; Ryzyko inwestycyjne; Reforma systemu emerytalnego

• Czasopismo: Economics & Sociology
• Rocznik: 2018
• Tom: 11
• Numer: nr 1
• Strony: 267--292

Twórcy

autor

Alexander Nepp

• Ural Federal University, Ekaterinburg, Russia

autor

Viola Larionova

• Ural Federal University, Ekaterinburg, Russia

autor

Ostap Okhrin

• Technische Universität Dresden, Dresden, Germany

autor

Alexander Sesekin

• Ural Federal University, Ekaterinburg, Russia

Bibliografia

• Auerbach, A. J., Kotlikoff, L. J. (1985). Simulating alternative social security responses to the demographic transition. National Tax Journal, 38(2), 153-168.
• Barrientos, A., Gorman, M., and Heslop, A. (2003). Old age poverty in developing countries: contributions and dependence in later life. World Development, 31(3), 555-570.
• Belan, P., Michel, P., Pestieau, P. (1998). Pareto-improving social security reform. GENEVA Papers on Risk and Insurance Theory, 23(2), 119-125.
• Bikker, J. A., Vlaar, P. J. (2007). Conditional indexation in defined benefit pension plans in the Netherlands. Geneva Papers on Risk and Insurance: Issues and Practice, 32(4), 494-515.
• Billig, A., M´enard, J.-C. N. (2013). Actuarial balance sheets as a tool to assess the sustainability of social security pension systems. International Social Security Review, 66(2), 31-52.
• Bosworth, B., Kent. W. (2011). Social Security on auto-pilot: international experience with automatic stabilizer mechanisms. Center for Retirement Research at Boston College, p. 46.
• Bouchet, M., Marchiori, L., Pierrard, O. (2014). D´eficit, croissance et bien-ˆetre interg´en´erationnel: Comment r´eformer les pensions au Luxembourg? BCL working papers, 87, Central Bank of Luxembourg.
• Breyer, F. (1989). On the intergenerational Pareto efficiency of pay-as-you-go financed pension systems. Journal of Institutional and Theoretical Economics, 145(4), 643-658.
• Brunner, J. K. (1996). Transition from a pay-as-you-go to a fully funded pension system: The case of differing individuals and intragenerational fairness. Journal of Public Economics, 60(1), 131-146.
• Capretta, V., Uustalu, T., Vene, V. (2006). Recursive coalgebras from comonads. Information and Computation, 204(4), 437-468.
• Cossette, H., Delwarde, A., Denuit, M., Guillot, F., Marceau, E. T. (2007). Pension plan valuation and mortality projection: A case study with mortality data. North American Actuarial Journal, 11(2), 1-34.
• D'Addio, A. C., Whitehouse, E. (2012). Towards financial sustainability of pensions systems: the role of automatic adjustment mechanisms in OCDE and EU countries. Bundesamt fu¨r Sozial, 8(12), 79 p.
• Davidoff, T., Brown, J. R., Diamond, P. A. (2005). Annuities and individual welfare (Review). American Economic Review, 95(5), 1573-1590.
• Debon, A., Montes, F., Puig, F. (2008). Modelling and forecasting mortality in Spain. European Journal of Operational Research, 189(3), 624-637.
• Devolder, P., Princep, M. B., Fabian, I. D. (2003). Stochastic optimal control of annuity contracts. Insurance, Mathematics and Economics, 33(2), 227-238.
• Fehr, H. (2000). Pension reform during the demographic transition. Scandinavian Journal of Economics, 102(3), 419-443.
• Fox, L., and Palmer, E. (2001). New approaches to multipillar pension systems: What in the world is going on? In: New ideas about old age security (eds.). Holzmann, R., and Stiglitz, J. E., pp. 90-132.
• Fudenberg, D. and Tirole, J. (1991). Game theory. Cambridge, Massachusetts: MIT Press. pp. 18-23. ISBN 9780262061414
• Godınez-Olivares, H., Boado-Penas, M. D. C., Pantelous, A. A. (2016). How to Finance Pensions: Optimal Strategies for Pay-as-You-Go Pension Systems. Journal of Forecasting, 35(1), 13-33.
• Gurvich, E. (2010). Reform 2010: Resolved if long-term problems of the pension system. Journal of New Economic Association, 6, 98-119.
• Gyarfas, G., Marquardt, M. (2001). Pareto improving transition from a pay-as-you-go to a fully funded pension system in a model of endogenous growth. Journal of Population Economics, 14(3), 445-453.
• Haberman, S. and Vigna, E. (2002). Optimal investment strategies and risk measures in defined contribution pension schemes. Insurance: Mathematics and Economics, 31, 35-69.
• Haberman, S., and Zimbidis, A. (2002). An investigation of the pay-as-you-go financing method using a contingency fund and optimal control techniques. North American Actuarial Journal, 6, 60-75.
• Holzmann, R. (2005). Old-age income support in the 21st century: An international perspective on pension systems and reform. World Bank Publications, 229 p.
• James, E. (1995). Averting the old age crisis. Ageing International, 22(2), 15-22.
• Kudrna, G., Woodland, A. D. (2011). Implications of the 2009 age pension reform in Australia: a dynamic general equilibrium analysis. Economic Record, 87(277), 183-201.
• Kudrin, A., Gurvich, E. (2012). The aging population and the threat of a budget crisis. Voprosy economici, 3, 52-79.
• Kwon, S. (2008). Future of long-term care financing for the elderly in Korea. Journal of Aging and Social Policy, 20(1), 119-136.
• Nepp, A. (2013). The role of demographic risks for unfunded pension systems. World Applied Sciences Journal, 27, 234-240.
• OECD (2013), Tax treatment of pensions and pensioners, In: Pensions at a Glance 2013: OECD and G20 Indicators, OECD Publishing. Access mode http://dx.doi.org/10.1787/pension_glance-2013-14-en. last accessed date: 24.01.2014.
• Pantelous, A., Zimbidis, A. (2008). Dynamic reforming of a quasi pay-as-you-go social security system within a discrete stochastic multidimensional framework using optimal control methods. Applicationes Mathematicae, 35, 121-144.
• Peters, W. (1991). Public pensions in transition - An optimal policy path. Journal of Population Economics, 4(2), 155-175.
• Raut, L. K. (1992). Effect of social security on fertility and savings: an overlapping generations model. Indian Economic Review, 27(1), 25-43.
• Roberts, M. A. (2013). Pareto-improving pension reform through technological implementation. Scottish Journal of Political Economy, 60(3), 317-342.
• Schwarz, A. M., and Demirguc-Kunt, A. (1999). Taking stock of pension reforms around the world. Social Protection, World Bank.
• United Nations, Department of Economic and Social Affairs, Population Division (2017). World Population Prospects: The 2017 Revision, DVD Edition.
• Vidal-Melia, C., Domınguez-Fabian, I., Devesa-Carpio, J. E. (2006). Subjective economic risk to beneficiaries in notional defined contribution accounts. Journal of Risk and Insurance, 73(3), 489-515.
• Wills, S., Sherris, M. (2010). Securitization, structuring and pricing of longevity risk. Insurance: Mathematics and Economics, 46(1), 173-185.
• World Bank (1994). Averting the Old Age Crisis: Policies to Protect the Old and Promote Growth. World Bank Policy Research Report, 436 p.
• Wrede, M. (1999). Pareto efficient pay-as-you-go pension systems with multi-period lives. Jahrbu¨cher fur Nationalokonomie und Statistik, 219(3-4), 494-503.

Identyfikatory

DOI

10.14254/2071-789X.2018/11-1/18