Intergenerational Risk-Sharing via Social Security when Financial Markets Are Incomplete

Krueger, Dirk; Kübler, Felix

doi:10.1257/000282802320191705

Cited by 33 publications

(18 citation statements)

References 16 publications

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“…The optimization problem of collective schemes, Equation (21), is a static problem, since all the decision parameters {p, α, β, ω} are constants. The collective schemes are solved using Monte Carlo simulations and grid search.…”

Section: A3 Collective Schemesmentioning

confidence: 99%

“…When p t and b t are determined, we evaluate the objective function (21) for the new entry cohort. A numerical grid search identifies the global maximum of the welfare function (21) and its corresponding parameter values {p, α, β, ω}. The table shows the optimal pension scheme parameters under the default values for the time preference (δ = 4%) and equity premium (μ − r = 4%).…”

Section: A3 Collective Schemesmentioning

confidence: 99%

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Intergenerational risk sharing within funded pension schemes

Cui

Jong

Ponds

2010

Journal of Pension Economics and Finance

124

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Is intergenerational risk sharing desirable and feasible in funded pension schemes? Using a multi-period OLG model, we study risk sharing between generations for a variety of realistic collective funded pension schemes, where pension benefits and contributions may depend on the funding ratio and the asset returns. We find that well-structured intergenerational risk sharing via collective schemes can be welfare-enhancing vis-à-vis the optimal individual benchmark. Moreover, from an ex ante perspective the expected welfare gain of the current entry cohort is not at the cost of the older and future cohorts.

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Section: A3 Collective Schemesmentioning

confidence: 99%

Section: A3 Collective Schemesmentioning

confidence: 99%

Intergenerational risk sharing within funded pension schemes

Cui

Jong

Ponds

2010

Journal of Pension Economics and Finance

124

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“…These and similar studies inform efforts to evaluate existing transfer systems, guide the development of new systems, and anticipate the implications of alternative reform proposals. Social security reform, in particular, has been the subject of an enormous amount of research (Feldstein and Samwick 2001, Feldstein 1998, and Krueger and Kubler 2002.…”

Section: B Options For Sustaining Growth In the Face Of Population Amentioning

confidence: 99%

Why Does Population Aging Matter so Much for Asia? Population Aging, Economic Growth, and Economic Security in Asia

2011

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The views expressed in this paper are those of the author(s) and do not necessarily reflect the views or policies of the Asian Development Bank. Terms of use: Documents inThe ADB Economics Working Paper Series is a forum for stimulating discussion and eliciting feedback on ongoing and recently completed research and policy studies undertaken by the Asian Development Bank (ADB) staff, consultants, or resource persons. The series deals with key economic and development problems, particularly those facing the Asia and Pacific region; as well as conceptual, analytical, or methodological issues relating to project/program economic analysis, and statistical data and measurement. The series aims to enhance the knowledge on Asia's development and policy challenges; strengthen analytical rigor and quality of ADB's country partnership strategies, and its subregional and country operations; and improve the quality and availability of statistical data and development indicators for monitoring development effectiveness.

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“…There is a substantial amount of literature that deals with optimal payout and investment policies in collective pension funds or PAYG pension systems (see, e.g., Enders and Lapan, 1982;Gordon and Varian, 1988;Krueger and Kubler, 2002;Ball and Mankiw, 2007;Gollier, 2008;Cui et al, 2011). Our study differs from this literature in two ways.…”

Section: Introductionmentioning

confidence: 95%

Intergenerational risk sharing in closing pension funds

Boonen

Waegenaere

2017

Insurance: Mathematics and Economics

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We model intergenerational risk sharing in closing funded pension plans. Specifically, we consider a setting in which in each period, the pension fund's investment and indexation policy is the outcome of a bargaining process between representatives of the then living generations. Because some generations might be under-or overrepresented in the board, we use the asymmetric Nash bargaining solution to allow for differences in bargaining powers. In a numerical study, we compare the welfare that the generations derive from the outcome of this repeated bargaining to the welfare that they would derive if a social planner's optimal policy would instead be implemented. We find that as compared to the social optimum, older generations benefit substantially from the repeated bargaining, even if all generations are equally well-represented in the board. If older generations are relatively over-represented, as is sometimes argued, these effects are attenuated.JEL-codes: C78, D9, G23.

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Intergenerational Risk-Sharing via Social Security when Financial Markets Are Incomplete

Abstract: This paper develops an overlapping generations model with stochas-

Cited by 33 publications

References 16 publications

Intergenerational risk sharing within funded pension schemes

Intergenerational risk sharing within funded pension schemes

Why Does Population Aging Matter so Much for Asia? Population Aging, Economic Growth, and Economic Security in Asia

Intergenerational risk sharing in closing pension funds

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