Intergenerational Risk-Sharing and Risk-Taking of a Pension Fund
Intergenerational Risk-Sharing and Risk-Taking of a Pension Fund
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DOI：
10.1016/j.jpubeco.2007.07.008
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发表时间：
2007-04
期刊：
影响因子：
--
通讯作者：
C. Gollier
中科院分区：
文献类型：
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作者：
C. Gollier
养恤基金通过有效利用其财政储备，可以缓和其资产收益受到的冲击，从而促进代际风险分担。除了改善时间分散的主要好处之外，这种形式的风险分配还提供了额外的好处，允许这些基金更好地利用股票溢价，这也有利于消费者。在本文中，我们的目标是双重的。首先，我们描述了社会有效的政策规则的集体养老金计划的投资组合管理，资本支付给退休人员，并向股东支付股息。我们研究了第一最佳规则和第二最佳规则，在后一种情况下，基金受到偿付能力约束和工人缴款的最低保证回报的约束。第二，我们衡量的社会盈余的系统相比，每一代人将储蓄和投资孤立的自己的退休。我们估计，养老金储蓄计划的确定性等价回报率从每年3.23%上升到3.76%时，代际风险分担。该论文的主要结果之一是，更好的代际风险分担并不能减少每一代人承担的风险。相反，它增加了工人缴款的预期回报。
By using their financial reserves efficiently, pension funds can smooth shocks on their asset returns, and can thus facilitate intergenerational risk-sharing. In addition to the primary benefit of improved time-diversification, this form of risk allocation affords the additional benefit of allowing these funds to take better advantage of the equity premium, which also favors the consumers. In this paper, our aim is twofold. First, we characterize the socially efficient policy rules of a collective pension plan in terms of portfolio management, capital payments to retirees, and dividend payments to shareholders. We examine both the first-best rules and the second-best rules, where, in the latter case, the fund is constrained by a solvency constraint and by a guaranteed minimum return to workers' contributions. Second, we measure the social surplus of the system compared to a situation in which each generation would save and invest in isolation for its own retirement. We estimate that the certainty equivalent return of the pension saving scheme goes from 3.23% per year to 3.76% when intergenerational risk-sharing is introduced. One of the main results of the paper is that better intergenerational risk-sharing does not reduce the risk born by each generation. Rather, it increases the expected return to the workers' contributions.