NEW FRONTIERS IN INSURANCE AND BANK RISK MANAGEMENT, pp. 85-95, Mc Graw-Hill Italia, 2009
Posted: 23 Feb 2012
Date Written: 2009
The aim of this paper is to analyze a particular demographic risk in pay-as-you-go (PAYG) pension funds. We focus on the influence of the demographic variable 'new entrants' and on its impact on the future evolution of the fund. The model adapts well to a closed pension fund which operates according to the PAYG rule. The global asset return and the new entrants variation rate are described by autoregressive processes. Numerical applications are carried out using the data of the Italian Chartered Accountants' Pension Fund. The sensitive analysis demonstrates that the new entrants variation rate has a stronger influence on the final value of the fund than the global asset return.
Keywords: pension funds, PAYG, demographic risk, stochastic new entrants
JEL Classification: G23, H55, J11
Suggested Citation: Suggested Citation
Melis, Roberta and Trudda, Alessandro, Demographic Risk in Pay-as-You-Go Pension Funds (2009). NEW FRONTIERS IN INSURANCE AND BANK RISK MANAGEMENT, pp. 85-95, Mc Graw-Hill Italia, 2009. Available at SSRN: https://ssrn.com/abstract=2009801