Good Practice Principles in Modelling Defined Contribution Pension Plans

25 Pages Posted: 22 Jun 2020

See all articles by Kevin Dowd

Kevin Dowd

Durham Business School

David P. Blake

City, University of London

Multiple version iconThere are 2 versions of this paper

Date Written: September 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

Dowd, Kevin and Blake, David P., Good Practice Principles in Modelling Defined Contribution Pension Plans (September 2013). Available at SSRN: https://ssrn.com/abstract=3612970 or http://dx.doi.org/10.2139/ssrn.3612970

Kevin Dowd

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

David P. Blake (Contact Author)

City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZX
Great Britain
+44 (0) 20-7040-8600 (Phone)
+44 (0) 20-7040-8881 (Fax)

HOME PAGE: http://www.pensions-institute.org/

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