Intergenerational risk sharing within funded pension schemes

Research output: Contribution to journalArticleScientificpeer-review

Abstract

Is intergenerational risk sharing desirable and feasible in funded pension schemes? Using a multi-period OLG model, we study risk sharing between generations for a variety of realistic collective funded pension schemes, where pension benefits and contributions may depend on the funding ratio and the asset returns. We find that well-structured intergenerational risk sharing via collective schemes can be welfare-enhancing vis-à-vis the optimal individual benchmark. Moreover, from an ex ante perspective the expected welfare gain of the current entry cohort is not at the cost of the older and future cohorts.
Original languageEnglish
Pages (from-to)1-29
Number of pages29
JournalJournal of Pension Economics and Finance
Volume10
Issue number1
Publication statusPublished - 2011

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Pension scheme
Cohort
Intergenerational risk sharing
Benchmark
Asset returns
Funding
Risk sharing
Pensions
Welfare gains
OLG model

Cite this

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title = "Intergenerational risk sharing within funded pension schemes",
abstract = "Is intergenerational risk sharing desirable and feasible in funded pension schemes? Using a multi-period OLG model, we study risk sharing between generations for a variety of realistic collective funded pension schemes, where pension benefits and contributions may depend on the funding ratio and the asset returns. We find that well-structured intergenerational risk sharing via collective schemes can be welfare-enhancing vis-{\`a}-vis the optimal individual benchmark. Moreover, from an ex ante perspective the expected welfare gain of the current entry cohort is not at the cost of the older and future cohorts.",
author = "J. Cui and {de Jong}, F.C.J.M. and E.H.M. Ponds",
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year = "2011",
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}

Intergenerational risk sharing within funded pension schemes. / Cui, J.; de Jong, F.C.J.M.; Ponds, E.H.M.

In: Journal of Pension Economics and Finance, Vol. 10, No. 1, 2011, p. 1-29.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Intergenerational risk sharing within funded pension schemes

AU - Cui, J.

AU - de Jong, F.C.J.M.

AU - Ponds, E.H.M.

N1 - Pagination: 29

PY - 2011

Y1 - 2011

N2 - Is intergenerational risk sharing desirable and feasible in funded pension schemes? Using a multi-period OLG model, we study risk sharing between generations for a variety of realistic collective funded pension schemes, where pension benefits and contributions may depend on the funding ratio and the asset returns. We find that well-structured intergenerational risk sharing via collective schemes can be welfare-enhancing vis-à-vis the optimal individual benchmark. Moreover, from an ex ante perspective the expected welfare gain of the current entry cohort is not at the cost of the older and future cohorts.

AB - Is intergenerational risk sharing desirable and feasible in funded pension schemes? Using a multi-period OLG model, we study risk sharing between generations for a variety of realistic collective funded pension schemes, where pension benefits and contributions may depend on the funding ratio and the asset returns. We find that well-structured intergenerational risk sharing via collective schemes can be welfare-enhancing vis-à-vis the optimal individual benchmark. Moreover, from an ex ante perspective the expected welfare gain of the current entry cohort is not at the cost of the older and future cohorts.

M3 - Article

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JO - Journal of Pension Economics and Finance

JF - Journal of Pension Economics and Finance

SN - 1474-7472

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