Stability of Participation in Collective Pension Schemes: An Option Pricing Approach
Stability of Participation in Collective Pension Schemes: An Option Pricing Approach
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DOI：
10.2139/ssrn.2677205
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发表时间：
2015-09
期刊：
影响因子：
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通讯作者：
Damiaan H. J. Chen;R. Beetsma;Dirk Broeders
中科院分区：
文献类型：
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作者：
Damiaan H. J. Chen;R. Beetsma;Dirk Broeders
本文有助于讨论强制参加集体出资的养老金计划。它探讨了如果参与是自愿的，个人参与者在什么情况下可以选择退出这种计划。我们开始展示，如果期权的有效期变长，参与的意愿如何增加。然后，我们展示了如何部署养老基金的一套政策工具，以尽量减少任何队列退出养老金计划的可能性。这些工具包括缴款政策和独立政策。将供资比率（即资产与负债的比率）恢复到其监管目标水平，可以基于统一供款或年龄依赖性供款。具体来说，虽然退出选择的价值阻止了年轻工人退出养老基金，但统一的缴费政策鼓励老年工人留在养老金计划中。
This paper contributes to the discussion about mandatory participation in collective funded pension schemes. It explores under what circumstances individual participants exercise the option to exit such a scheme if participation is voluntary. We begin by showing how the willingness to participate increases if the period over which the option is valid becomes longer. Then, we demonstrate how the pension fund’s set of policy instruments can be deployed to minimize the likelihood that any cohort exits the pension scheme. The instruments consist of contribution and indexation policies. Recovery of the funding ratio, i.e. the ratio of assets over liabilities, to its regulatory target level may be based on uniform contributions or age-dependent contributions. Specifically, while the value of the exit option deters younger workers from exiting the pension fund, a uniform contribution policy encourages older workers to stay in the pension scheme.