Fair Demographic Risk Sharing in Defined Contribution Pension Systems
Fair Demographic Risk Sharing in Defined Contribution Pension Systems
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DOI：
10.2139/ssrn.1667579
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发表时间：
2010-07
期刊：
影响因子：
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通讯作者：
D. Gabay;M. Grasselli
中科院分区：
文献类型：
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作者：
D. Gabay;M. Grasselli
在本文中，我们在一个高度程式化但仍然相当普遍的非平稳框架中，制定并解决了固定缴款公共养老基金的优化设计问题。我们采用一个仁慈的社会规划者的观点，旨在以公平的方式对待连续重叠的几代人参与这样一个长期的强制性系统。利用El Karoui和Jeanblanc（1998）对完全市场中具有随机收入的最优消费和投资组合选择问题的方法，我们展示了每一代人获得公平（一次性）退休福利的跨期随机控制问题的解决方案：它与她在积极的工作生涯中所付出的贡献成正比，并遵循一个固定的共同规则（尽管她的养老金价值本身可能取决于只有在她退休时才能观察到的变量）。接下来，我们放宽了集体养老金制度是强制性的假设，并调查了个人投资计划在市场上的表现。比较两种方案的结果，我们得出了一个条件，在这个条件下，集体基金可以预期优于个人计划。在固定经济的特殊情况下，Gollier（2008）指出了这种可能性。事实上，这种影响是由于集体基金有可能在今天以后代的捐款为抵押借款，从而可以实施风险更大的战略，并可能改善其业绩。
In this article we formulate and solve the optimal design problem of a defined contribution public pension fund, in a highly stylized but still rather general non-stationary framework. We adopt the viewpoint of a benevolent social planner who aims at treating in a fair manner the successive overlapping generations participating to such a long-term mandatory system. Using the approach of El Karoui and Jeanblanc (1998) for the optimal consumption and portfolio choice problem with random income in a complete market, we exhibit a solution to our intertemporal stochastic control problem where each generation receives a fair (lumpsum) retirement benefit: it is proportional to the contributions she has paid during her active worklife and follows a fixed common rule (although her pension value itself may depend on variables only observable at her retirement time). We next relax the assumption that the collective pension system is mandatory and investigate the performance of individual investment plans in the market. Comparing the outcomes of both alternatives, we derive a condition under which the collective fund can be expected to overperform the individual plan. In the special case of a stationary economy, such a possibility has been pointed out by Gollier (2008). In fact this effect results from the possibility for the collective fund to borrow today against contributions of future generations, which allows to implement riskier strategies and may improve its performance.