Related papers: Equitable Longevity Risk Sharing or, the raison d'…
This paper investigates the impact of Social Discount Rate (SDR) choice on intergenerational equity issues caused by Public-Private Partnerships (PPPs) projects. Indeed, more PPPs mean more debt being accumulated for future generations…
Using unique research data, we investigate disability retirement risk under the statutory public sector pension scheme in Finland. The statistical analysis yields two indicators: risk for upcoming permanent disability pension and critical…
This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with…
The equity risk premium puzzle is that the return on equities has far exceeded the average return on short-term risk-free debt and cannot be explained by conventional representative-agent consumption based equilibrium models. We review a…
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly…
Evidence shows that the labor participation rate of retirement age cohorts is non-negligible, and it is a widespread phenomenon globally. In the United States, the labor force participation rate for workers age 75 and older is projected to…
The new era of large-scale data collection and analysis presents an opportunity for diagnosing and understanding the causes of health inequities. In this study, we describe a framework for systematically analyzing health disparities using…
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical…
Machine learning models in high-stakes applications, such as recidivism prediction and automated personnel selection, often exhibit systematic performance disparities across sensitive subpopulations, raising critical concerns regarding…
As the developed world replaces Defined Benefit (DB) pension plans with Defined Contribution (DC) plans, there is a need to develop decumulation strategies for DC plan holders. Optimal decumulation can be viewed as a problem in optimal…
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This…
This paper examines the effects of the 2019 universalization of Mexico's Social Pension Program (PAM), one of the country's most expansive and politically salient social programs. The reform simultaneously increased the cash transfer and…
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major changes tend to be `grandfathered' meaning…
Aggregated health data such as claims data from health insurances become more and more available for research purposes. Estimates of excess mortality from prevalence and incidence of a chronic condition have only been possible for ages 50…
Brazil is the 5th largest country in the world, despite of having a ``High Human Development'' it is the 9th most unequal country. The existing Brazilian micro pension programme is one of the safety nets for poor people. To become eligible…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international…
As the ageing population and childlessness are increasing in rural China, social pensions will become the mainstream choice for farmers, and the level of social pensions must be supported by better social insurance. The paper compares the…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…