Time-consistent pension policy with minimum guarantee and sustainability constraint
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866914692543283200 |
|---|---|
| author | Hillairet, Caroline Kaakai, Sarah Mrad, Mohamed |
| author_facet | Hillairet, Caroline Kaakai, Sarah Mrad, Mohamed |
| contents | 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 taking into account complex dynamic phenomena such as the demographic risk and its evolution over time, the time and age dependence of agents preferences, and financial risks. The preference criterion of the social planner is modeled by a consistent dynamic utility defined on a stochastic domain, which incorporates the heterogeneity of overlapping generations and its evolution over time. The preference criterion and the optimization problem also incorporate sustainability, adequacy and fairness constraints. The paper designs and solves the social planner's dynamic decision criterion, and computes the optimal investment/pension policy in a general framework. A detailed analysis for the case of dynamic power utilities is provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2207_01536 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Time-consistent pension policy with minimum guarantee and sustainability constraint Hillairet, Caroline Kaakai, Sarah Mrad, Mohamed Mathematical Finance Probability 93E20 (Primary), 91B70 (Secondary), 91B16 (Secondary) 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 taking into account complex dynamic phenomena such as the demographic risk and its evolution over time, the time and age dependence of agents preferences, and financial risks. The preference criterion of the social planner is modeled by a consistent dynamic utility defined on a stochastic domain, which incorporates the heterogeneity of overlapping generations and its evolution over time. The preference criterion and the optimization problem also incorporate sustainability, adequacy and fairness constraints. The paper designs and solves the social planner's dynamic decision criterion, and computes the optimal investment/pension policy in a general framework. A detailed analysis for the case of dynamic power utilities is provided. |
| title | Time-consistent pension policy with minimum guarantee and sustainability constraint |
| topic | Mathematical Finance Probability 93E20 (Primary), 91B70 (Secondary), 91B16 (Secondary) |
| url | https://arxiv.org/abs/2207.01536 |