No abstract

Moins de trois années après la réforme des retraites de 2011, le gouvernement a procédé à de nouveaux ajustements, début 2014, devant aboutir à une réforme qualifiée de « pérenne et équitable » par ses promoteurs. L’article qui suit examine les hypothèses sous-jacentes au retour à l’équilibre prévu dans la réforme de 2014 ; elle procède aussi à une analyse de la sensibilité des résultats aux hypothèses macroéconomiques retenues. La seconde partie examine très précisément le rôle équilibrant de la détérioration du pouvoir d’achat des retraités et conclut sur des perspectives inquiétantes quant à ce pouvoir d’achat.

Purpose The authors aim to demonstrate the importance of taking into account “mean reversion” in asset prices and show that this type of modeling leads to a high share of equities in pension funds’ asset allocations. Design/methodology/approach First, the authors will study the long-run statistical characteristics of selected financial assets during the 1895-2011 period. Such an analysis corroborates the fact that, for long holding periods, equities exhibit lower risk than other asset classes. Moreover, they will provide empirical evidence that stock market returns are negatively skewed in the short term and show that this negative skewness vanishes over longer time horizons. Both these characteristics favor the use of a semi-parametric methodology. Findings This empirical study led to two major findings. First, the authors noticed that the distribution of stock returns is negatively skewed over short time horizons. Second, they observed that the fat-tailed shape of the returns distribution disappears for time periods longer than five years. Finally, they demonstrated that stock returns exhibit “mean-reversion”. Consequently, the optimization program should not only take into account the non-Gaussian nature of returns in the short run but also incorporate the speed at which volatility “mean reverts” to its long-run mean. Originality/value To simulate portfolio allocation, the authors used a Cornish–Fisher Value-at-Risk criterion with the advantage of providing an allocation that is independent of the saver’s preferences parameters. A backtesting analysis including a calculation of replacement rates shows a clear dominance of the “non-Gaussian” strategy because the retirement outcomes under such a strategy would be positively affected.

Financing state-owned corporations pension schemes : a european comparison The financial equilibrium of the wage-earners pension schemes is, and it is well- known, seriously in danger on the medium-long run. This remark is true for wage-earners of the private sector, but particularly for the employees of the public sector or members of schemes so called « special » which are based on the population of a single firm, basis much narrower and therefore much more fragile than the basis of the firms of the private sector, which transfers concerning retirement are managed collectively. The opening of the markets and the emergence of a strong competition in sectors which were untill now almost monopolistic, sets in worrying terms the problem of the handicap constituted by the retirement costs for companies endowed with special schemes. The purpose of this article is, on one hand to analyse the different solutions, envisaged or already adopted in some foreign countries (United Kingdom, Sweden, Spain, Germany) by firms operating in sectors traditionally allotted to public companies which are opening up to the competition (Post, Telecom, Rail, Electricity) and, on the other hand, to sum up the situation about the French special schemes.

No abstract