February 2018

26Feb

Financial Economics Principles Applied to Public Pension Plans

By Edward Bartholomew (Independent), Jeremy Gold (Jeremy Gold Pensions), David G. Pitts (Independent) & Larry Pollack (Independent) Working from basic principles of economics, financial economics, and public finance, we develop implications for the financial management of public pension plans. We address the measurement of plan liabilities and cost, funding, investment of plan assets, financial reporting, benefit design and risk sharing. Our analysis seeks to maximize efficiency and preserve intergenerational equity. We conclude that full funding based on default-free discount rates...

February 26, 2018
Articles, Management, Pension design,
Read more...
19Feb

The Optimal Allocation of Longevity Risk with Perfect Insurance Markets

By Antoine Bommier (ETH Zürich) & Hélène Schernberg (ETH Zurich) This paper discusses the allocation of aggregate longevity risk in the case of perfect insurance markets. We show that the optimal allocation transfers some risk to the pensioners, even if pension providers have access to a perfect insurance market. Individuals prefer contributions and benefits to depend on the evolution of aggregate mortality rates rather than being fixed. Indeed, this flexibility offers an interesting diversification strategy where the prospect of a...

February 19, 2018
Aging, Articles, Labor Market, Management, Pension design, , ,
Read more...

January 2018

08Jan

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

By Marco Bianchetti (Intesa Sanpaolo - Financial and Market Risk Management; University of Bologna), Camilla Ricci (Intesa Sanpaolo-Financial and Market Risk Management) & Marco Scaringi (Intesa Sanpaolo - Financial and Market Risk Management) The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices which is mainly driven by investor sentiment, becoming a potential source of...

January 8, 2018
Articles, Investing, , ,
Read more...

December 2017

30Dec

How to Invest and Spend Wealth in Retirement? A Utility-Based Analysis

By Servaas van Bilsen (University of Amsterdam), A. Lans Bovenberg (Tilburg University - Center for Economic Research (CentER); Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute for Economic Research)) & Roger J. A. Laeven (University of Amsterdam - Amsterdam School of Economics) This paper explores the optimal consumption and investment behavior of a retiree who derives utility from the ratio between consumption and an endogenous habit. By developing a non-trivial linearization to the budget...

December 30, 2017
Articles, Investing, Savings, , ,
Read more...
04Dec

Securing Lifelong Retirement Income: Global Annuity Markets and Policy

By Olivia S. Mitchel Interest in longevity and longevity risk management is burgeoning, as government and regulatory agencies are increasingly conscious of the potential risks and benefits of longer lifespans. Commercial and industrial organizations, especially within the financial sector, are awakening to the opportunities presented by population aging, along with the new array of financial insurance instruments to manage longevity risk, which more sophisticated markets are making possible. This volume explores three main themes: the need for products to manage...

December 4, 2017
Books, Corporate Governance, Investing, Regulation, , ,
Read more...

October 2017

27Oct

Longevity Risk and Capital Markets: The 2015-16 Update

By David P. Blake (The Pensions Institute), Nicole El Karoui (Ecole Polytechnique), Richard D. MacMinn (National Chengchi University) & Stéphane Loisel (University of Lyon) This Special Issue of Insurance: Mathematics and Economics contains 16 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 11: The Eleventh International Longevity Risk and Capital Markets Solutions Conference that was held in Lyon, France on 8-9 September 2015. It was hosted...

October 27, 2017
Articles, Investing, Management,
Read more...
08Oct

Endowment vs Pension Returns

By Michael Karris (EndowBridge Capital) Does the Endowment Model still work? Judging by large endowments’ steady outperformance of a 70% global stock /30% US bond index, THE ANSWER IS YES. Versus a 60% US stock / 40% US bond index, the answer is not as clear cut. Even so, the Endowment Model still adds value for a long-term portfolio that uses alternative assets, especially venture capital. The lucrative illiquidity premium has generated superior returns for U.S. endowments versus other investors, especially through...

October 8, 2017
Articles, Investing, Savings
Read more...

July 2017

30Jul

Optimal Longevity Risk Transfer and Investment Strategies

By Samuel H. Cox (University of Manitoba), Yijia Lin (University of Nebraska) & Sheen Liu (Washington State University) Given the rising cost of maintaining defined benefit (DB) pensions, there has been a surge of activities in recent years by DB plan sponsors to transfer their pension risk through strategies such as buy-ins and buy-outs. As buy-in and buy-out transaction pipelines grow, insurers actively participating in the buy-in and buy-out markets are exposed to significant longevity risk embedded in pension schemes....

July 30, 2017
Articles, Investing, Management, Pension design, ,
Read more...

March 2017

27Mar

Towards an Equitable and Sustainable Points System: A Proposal for Pension Reform in Belgium

By Erik Schokkaert (Catholic University of Leuven), Pierre Devolder (Catholic University of Louvain), Jean Hindriks (University of London) & Frank Vandenbroucke (University of Amsterdam) We describe the points system that has been proposed by the Belgian Commission for Pension Reform 2020-2040. Intragenerational equity can be realised in a flexible and transparent way through the allocation of points within a cohort. The intergenerational distribution is determined by fixing the value of a point for the newly retired and a sustainability parameter...

March 27, 2017
Aging, Articles, Labor Market, System Sustainability, , , ,
Read more...
26Mar

Redistribution Effect and Pension Choice: Theory and Evidence

By Hulai Zhang (Peking University) This paper mainly focuses on two issues, the factors influencing pension choice and the redistribution effect of the pension system in China. Our model studies the trade-offs of relative financial benefits and risks provided by various plans, as well as the accessibility to specific pension plans and accessibility to information on pensions. The features examined include individual features such as hukou, gender and education, family features like marital status and work features like job types....

March 26, 2017
Articles, Labor Market, Pension design, Regulation, , , ,
Read more...