Longevity Risk in Notional Defined Contribution Pension Schemes: A Solution

2015 ◽  
Vol 41 (1) ◽  
pp. 24-52 ◽  
Author(s):  
Séverine Arnold ◽  
María del Carmen Boado-Penas ◽  
Humberto Godínez-Olivares
Keyword(s):  
Longevity Risk ◽  
Defined Contribution ◽  
Pension Schemes ◽  
Notional Defined Contribution

scholarly journals Hedging Longevity Risk in Defined Contribution Pension Schemes

2021 ◽  
Author(s):  
Ankush Agarwal ◽  
Christian-Oliver Ewald ◽  
Yongjie Wang
Keyword(s):  
Longevity Risk ◽  
Defined Contribution ◽  
Pension Schemes

scholarly journals Fairness and annuity divisors for notional defined contribution pension schemes

2020 ◽  
pp. 1-25
Author(s):  
María del Carmen Boado-Penas ◽  
Steven Haberman ◽  
Poontavika Naka
Keyword(s):  
Defined Contribution ◽  
Present Value ◽  
Low Socioeconomic ◽  
Socioeconomic Groups ◽  
Lifetime Income ◽  
High Educational Attainment ◽  
Pension Schemes ◽  
Actuarial Fairness ◽  
Notional Defined Contribution ◽  
High Educational

Abstract The use of a gender-neutral annuity divisor introduces an intra-generational redistribution from short-lived towards long-lived individuals; this entails a transfer of wealth from males to females and from low socioeconomic groups to high socioeconomic groups. With some subpopulations consisting of females from low socioeconomic groups (or males from high groups), the net effect of the redistribution is unclear. The study aims to quantify the lifetime income redistribution of a generic NDC system using two types of divisor – the demographic and the economic – to compute the amount of an initial pension. With this in mind, the redistribution (actuarial fairness) among subpopulations is assessed through the ratio between the present value of expected pensions received and contributions paid. We find that all subgroups of women and men with high educational attainment benefit from the use of the unisex demographic divisor. This paper also shows that the value of the economic divisor depends markedly on population composition. When mortality differentials by gender and level of education are considered, economic divisors are mostly driven by the longevity effect corresponding to gender.

scholarly journals Notional defined contribution pension schemes: why does only Sweden distribute the survivor dividend?

2015 ◽  
Vol 19 (3) ◽  
pp. 200-220 ◽  
Author(s):  
Carlos Vidal-Meliá ◽  
María del Carmen Boado-Penas ◽  
Francisco Navarro-Cabo
Keyword(s):  
Defined Contribution ◽  
Pension Schemes ◽  
Notional Defined Contribution

scholarly journals Hedging Longevity Risk in Defined Contribution Pension Schemes

2019 ◽  
Author(s):  
Ankush Agarwal ◽  
Christian-Oliver Ewald ◽  
Yongjie Wang
Keyword(s):  
Longevity Risk ◽  
Defined Contribution ◽  
Pension Schemes

Backward–Looking and Forward–Looking NDC Pension Schemes

2008 ◽  
Vol 26 (2) ◽  
pp. 93-108 ◽  
Author(s):  
Sandro Gronchi ◽  
Fulvio Gismondi
Keyword(s):  
Life Expectancy ◽  
Survival Rates ◽  
Retirement Age ◽  
Defined Contribution ◽  
Social Consensus ◽  
The Past ◽  
Pension Schemes ◽  
Actuarial Fairness ◽  
Conversion Coefficients ◽  
Notional Defined Contribution

Abstract In order to spread notional capital accrued at retirement by members of a cohort over their own life expectancy, pay-as-you-go notional-defined-contribution (payg-ndc) scheme uses multipliers (different by retirement age) called conversion coefficients. These are backward-looking (b.l.) in that they relay on survival rates observed for previous cohorts in the past. Under increasing longevity, b.l. coefficients undervalue life expectancies, thus preventing full implementation of actuarial fairness (benefits equivalent to contributions) which is the main objective of ndc scheme. They also engender chronic deficits.Forward-looking (f.l.) coefficients, relaying on forecast survival rates can improve actuarial fairness. Nevertheless, they face a rather serious political difficulty in that forecasting tools are fallible. This explains why switching to f.l. coefficients is unable to gain social consensus. Apart from this, the paper shows that f.l. coefficients produce ‘overshooting’. In fact, they generate chronic surpluses. The paper also shows that frontloading pension profile helps sustainability because it reduces both surpluses and deficits generated, respectively, by f.l. and b.l. coefficients.

Should a Survivorship Dividend Be Included in Notional Defined Contribution Accounts (NDCs)?

2013 ◽  
Author(s):  
Carlos Vidal-Melii ◽  
Marra del Carmen Boado-Penas ◽  
Francisco Navarro-Cabo
Keyword(s):  
Defined Contribution ◽  
Notional Defined Contribution
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