Pareto Optimal Pension Risk Allocations

We consider a funded pension system where collective risks, in a simple Black-Scholes financial market, are allocated to the retirement savings of individual participants. In particular, we consider an allocation in such a way that the relative effect on total retirement wealth, that is, the sum of...

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Veröffentlicht in:	De Economist (Netherlands) 2022-02, Vol.170 (1), p.133-172
Hauptverfasser:	Muns, Sander, Werker, Bas J. M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Allocation Annuities Economic Policy Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Financial market Funding Human capital Interest rate risk Interest rates Investment policy Microeconomics Original Paper Pension funds Public Finance Retirement Retirement income Risk Risk factors Risk sharing Securities markets Wealth
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