Essays on retirement income provision

Lei Shu

Research output: ThesisDoctoral ThesisScientific

336 Downloads (Pure)

Abstract

This dissertation examines three topics out of the broad range of old-age supporting. The dissertation consists of three papers. In the first paper, we analyze the sustainability of a new regulatory framework, the nFTK, for the Dutch pension funds. Based on a simulation study, we explore to what extent the pension fund can provide full indexation under the nFTK, and whether the full indexation is fulfilled without overfunding. In the second paper, we investigate the model risk in the pricing of the reverse mortgage products using two different models for the house price process, i.e., the Geometric Brownian Motion model and the Vector Auto-Regression model. We calibrate the models using prices of regular mortgages and determine the corresponding price ranges for reverse mortgages. In the third paper, using a two-wave nationwide survey data from CHARLS, we investigate the impact of a newly introduced rural pension system, the New Rural Social Pension Insurance program (NRSPI), on the retirement and old-age labor supply pattern in China.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • De Waegenaere, Anja, Promotor
  • Melenberg, Bertrand, Promotor
  • Schumacher, H., Promotor, External person
Award date30 Jan 2017
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 503 4
Publication statusPublished - 2017

Fingerprint

Retirement income
Mortgages
Old age
Pension funds
Indexation
Model risk
Survey data
Pension insurance
House prices
China
Pension system
Retirement
Labor supply
Vector autoregression model
Geometric Brownian motion
Sustainability
Simulation study
Regulatory framework
Pricing

Cite this

Shu, L. (2017). Essays on retirement income provision. Tilburg: CentER, Center for Economic Research.
Shu, Lei. / Essays on retirement income provision. Tilburg : CentER, Center for Economic Research, 2017. 164 p.
@phdthesis{e5dd8c4e03bf4ec99651b904d9cea56c,
title = "Essays on retirement income provision",
abstract = "This dissertation examines three topics out of the broad range of old-age supporting. The dissertation consists of three papers. In the first paper, we analyze the sustainability of a new regulatory framework, the nFTK, for the Dutch pension funds. Based on a simulation study, we explore to what extent the pension fund can provide full indexation under the nFTK, and whether the full indexation is fulfilled without overfunding. In the second paper, we investigate the model risk in the pricing of the reverse mortgage products using two different models for the house price process, i.e., the Geometric Brownian Motion model and the Vector Auto-Regression model. We calibrate the models using prices of regular mortgages and determine the corresponding price ranges for reverse mortgages. In the third paper, using a two-wave nationwide survey data from CHARLS, we investigate the impact of a newly introduced rural pension system, the New Rural Social Pension Insurance program (NRSPI), on the retirement and old-age labor supply pattern in China.",
author = "Lei Shu",
year = "2017",
language = "English",
isbn = "978 90 5668 503 4",
series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

}

Shu, L 2017, 'Essays on retirement income provision', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on retirement income provision. / Shu, Lei.

Tilburg : CentER, Center for Economic Research, 2017. 164 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Essays on retirement income provision

AU - Shu, Lei

PY - 2017

Y1 - 2017

N2 - This dissertation examines three topics out of the broad range of old-age supporting. The dissertation consists of three papers. In the first paper, we analyze the sustainability of a new regulatory framework, the nFTK, for the Dutch pension funds. Based on a simulation study, we explore to what extent the pension fund can provide full indexation under the nFTK, and whether the full indexation is fulfilled without overfunding. In the second paper, we investigate the model risk in the pricing of the reverse mortgage products using two different models for the house price process, i.e., the Geometric Brownian Motion model and the Vector Auto-Regression model. We calibrate the models using prices of regular mortgages and determine the corresponding price ranges for reverse mortgages. In the third paper, using a two-wave nationwide survey data from CHARLS, we investigate the impact of a newly introduced rural pension system, the New Rural Social Pension Insurance program (NRSPI), on the retirement and old-age labor supply pattern in China.

AB - This dissertation examines three topics out of the broad range of old-age supporting. The dissertation consists of three papers. In the first paper, we analyze the sustainability of a new regulatory framework, the nFTK, for the Dutch pension funds. Based on a simulation study, we explore to what extent the pension fund can provide full indexation under the nFTK, and whether the full indexation is fulfilled without overfunding. In the second paper, we investigate the model risk in the pricing of the reverse mortgage products using two different models for the house price process, i.e., the Geometric Brownian Motion model and the Vector Auto-Regression model. We calibrate the models using prices of regular mortgages and determine the corresponding price ranges for reverse mortgages. In the third paper, using a two-wave nationwide survey data from CHARLS, we investigate the impact of a newly introduced rural pension system, the New Rural Social Pension Insurance program (NRSPI), on the retirement and old-age labor supply pattern in China.

M3 - Doctoral Thesis

SN - 978 90 5668 503 4

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Shu L. Essays on retirement income provision. Tilburg: CentER, Center for Economic Research, 2017. 164 p. (CentER Dissertation Series).