Good Practice Principles in Modelling Defined Contribution Pension Plans

Posted: 22 Mar 2016

See all articles by David P. Blake

David P. Blake

City University London - Cass Business School

Kevin Dowd

Nottingham University Business School (NUBS)

Date Written: September 2, 2013

Abstract

We establish 16 good practice principles in modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and gender; modelling plan charges; modelling longevity risk; modelling the post-retirement period; integrating the pre- and post-retirement periods; modelling additional sources of income, such as the state pension and equity release; modelling extraneous factors, such as unemployment risk, activity rates, taxes and entitlements; scenario analysis and stress testing; periodic updating of the model and changing assumptions; and overall fitness for purpose.

JEL Classification: C15, C18, C63, C68, D14, D91

Suggested Citation

Blake, David P. and Dowd, Kevin, Good Practice Principles in Modelling Defined Contribution Pension Plans (September 2, 2013). Available at SSRN: https://ssrn.com/abstract=2752500

David P. Blake (Contact Author)

City University London - Cass Business School ( email )

London, EC2Y 8HB
Great Britain
+44 (0) 20-7040-5143 (Phone)
+44 (0) 20-7040-8881 (Fax)

Kevin Dowd

Nottingham University Business School (NUBS) ( email )

Jubilee Campus
Wollaton Road
Nottingham, NG8 1BB
United Kingdom

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