Ndc Schemes and Heterogeneity in Longevity: Proposals for Redesign

Holzmann, Robert; Alonso-García, Jennifer; Hardy, Héloïse Labit; Villegas, Andrés M.

doi:10.2139/ssrn.3088957

Cited by 7 publications

(4 citation statements)

References 113 publications

(155 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This hypothesis is reasonable due to the decreasing fertility and increasing life expectancy. Furthermore, it is worth mentioning that some research has emphasized the relationship between socioeconomic status, income and mortality; see, Andrés et al (2014) and Holzmann et al (2017). Taking the socio-economic status and income into consideration in our model of mortality might provide practically more equitable risk sharing strategies.…”

Section: Discussionmentioning

confidence: 99%

“…On the other hand, it is obvious that the force of mortality raises when people's age increases. Furthermore, Knell (2018), Alonso-Garcia and Devolder (2019), Andrés et al (2014) and Holzmann et al (2017) all take the socio-economic status and income into consideration in model of mortality. Inspired by Knell (2018), we assume that the maximum age is an incresing function of the time in this paper.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Optimal investment problem for a hybrid pension with intergenerational risk-sharing and longevity trend under model uncertainty

Fu¹,

Rong²,

Zhao³

2023

Preprint

View full text Add to dashboard Cite

This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent force of mortality and a linear maximum age are considered to capture the longevity trend. Suppose that the plan manager is ambiguity averse and is allowed to invest in a risk-free asset and a stock. The plan manager aims to find optimal investment strategies and optimal intergenerational risk-sharing arrangements by minimizing the cost of unstable contribution risk, the cost of unstable benefit risk and discontinuity risk under the worst-case scenario. By applying the stochastic optimal control approach, closed-form solutions are derived under a penalized quadratic cost function. Through numerical analysis and three special cases, we find that the intergeneration risk-sharing is achieved in our collective hybrid pension plan effectively. And it also shows that when people live longer, postponing the retirement seems a feasible way to alleviate the stress of the aging problem.

show abstract

Section: Discussionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Optimal investment problem for a hybrid pension with intergenerational risk-sharing and longevity trend under model uncertainty

Fu¹,

Rong²,

Zhao³

2023

Preprint

View full text Add to dashboard Cite

show abstract

“…ABH proposal: Following Ayuso et al (2017) the ABH proposal suggests adjusting the replacement rate of the pension system for an agent of age a taking into account the difference between the average life expectancy of the cohort at age a (LE) and the life expectancy of the agent at age a. Since it is assumed that the life expectancy of each agent is unknown to the government, we consider that such a policy can be implemented similar as in Holzmann et al (2019) where the remaining years of life are related to the log of the number of pension points (see Section A.7 in the online Appendix).…”

Section: Pension Reformsmentioning

confidence: 99%

Redistributive effects of pension reforms: who are the winners and losers?

Sánchez-Romero,

Schuster,

Prskawetz

2023

Journal of Pension Economics and Finance

View full text Add to dashboard Cite

As the heterogeneity in life expectancy by socioeconomic status increases, many pension systems imply a wealth transfer from short- to long-lived individuals. Various pension reforms aim to reduce inequalities that are caused by ex-ante differences in life expectancy. However, these pension reforms may induce redistribution effects. We introduce a dynamic general equilibrium-overlapping generations model with heterogeneous individuals that differ in their education, labor supply, lifetime income, and life expectancy. Within this framework we study six different pension reforms that foster the sustainability of the pension system and aim to account for heterogeneous life expectancy. Our results highlight that pension reforms have to be evaluated at various dimensions. Reforms that may increase the sustainability of the pension system are not necessarily conducive to reduce the redistributive wealth transfers from short- to long-lived individuals. Our paper emphasizes the need for studying pension reforms in models with behavioral feedback and heterogeneous socioeconomic groups.

show abstract

“…In addition, in another paper, Simonovits (2021) mathematically analyses the connection of the longevity gap and redistribution. 6 Though it is a toy model, it has some policy relevance: the existence of sizable ex post redistribution in a priori neutral pension system weakens the case for nonfinancial defined contribution (NDC) public pensions (Holzmann et al 2019).…”

Section: Introductionmentioning

confidence: 99%

A simple estimation of the longevity gap and redistribution in the pension system

Simonovits

Lorena

2023

AOecon

View full text Add to dashboard Cite

It has been known for decades that in a given year and in a given country, with the rise in lifetime income, life expectancy also rises. The difference between the richest and the poorest stratas' life expectancies is called the longevity gap. Recently, as the gap has generally been growing, it has received more and more attention. The issue is important in itself, but it has also an obvious impact on redistribution in the pension system: the greater the longevity gap, the greater is the redistribution from the low benefit pensioners to the high benefit ones in a given pension system. Econometrically estimating the life expectancy-income function may help the analysis. In our short study, first we give a simple estimation, and then we show the influence of the estimate on the redistribution.

show abstract

Ndc Schemes and Heterogeneity in Longevity: Proposals for Redesign

Cited by 7 publications

References 113 publications

Optimal investment problem for a hybrid pension with intergenerational risk-sharing and longevity trend under model uncertainty

Optimal investment problem for a hybrid pension with intergenerational risk-sharing and longevity trend under model uncertainty

Redistributive effects of pension reforms: who are the winners and losers?

A simple estimation of the longevity gap and redistribution in the pension system

Contact Info

Product

Resources

About