Related papers: The Design of Optimally Balanced Pay-as-you-go Soc…
This paper resolves Aaron's social insurance paradox, which suggests that introducing a pay-as-you-go (PAYG) pension system increases welfare when population growth plus average wage growth exceeds interest rates. Using a simplified…
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to guarantee a minimal pension amount. The model aims at…
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism. The social planner's preference criterion is represented by…
We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…
The increasingly complex economic and financial environment in which we live makes the management of liquidity in payment systems and the economy in general a persistent challenge. New technologies are making it possible to address this…
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio problem in finance, with some crucial distinctions. In…
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with…
Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirement age. Given forecasts of these parameters, policies can…
We study the design of a decentralized two-sided matching market in which agents' search is guided by the platform. There are finitely many agent types, each with (potentially random) preferences drawn from known type-specific…
In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a defined contribution pension system. We formulate this…
In order to deal with the aging problem, pension system is actively transformed into the funded scheme. However, the funded scheme does not completely replace PAYGO (Pay as You Go) scheme and there exist heterogeneous mixes among PAYGO, EET…
We develop a deep learning algorithm for constructing globally accurate approximations to functional rational expectations equilibria of dynamic stochastic economies in the sequence space. We use deep neural networks to parameterize key…
Optimal balance is a non-asymptotic numerical method to compute a point on the slow manifold for certain two-scale dynamical systems. It works by solving a modified version of the system as a boundary value problem in time, where the…
Almost every public pension system shares two attributes: earning deductions to finance benefits, and benefits that depend on earnings. This paper analyzes theoretically and empirically the trade-off between social insurance and incentive…
We study a passenger-taxi double-ended queue with impatient passengers and two-point matching time in this paper. The system considered in this paper is different from those considered in the existing literature, which fully considers the…
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal approximation theorem based on Barron-type…
We study a dynamic matching problem on a two-sided platform with unbalanced patience, in which long-lived supply accumulates over time with a unit waiting cost per period, while short-lived demand departs if not matched promptly. High- or…
A well-known feature of overlapping generations economies is that the First Welfare Theorem fails and equilibrium may be inefficient. The Cass (1972) criterion furnishes a necessary and sufficient condition for efficiency, but it does not…
Matching platforms, from ridesharing to food delivery to competitive gaming, face a fundamental operational dilemma: match agents immediately to minimize waiting costs, or delay to exploit the efficiency gains of thicker markets. Yet…
The optimal selection of experimental conditions is essential to maximizing the value of data for inference and prediction, particularly in situations where experiments are time-consuming and expensive to conduct. We propose a general…