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Retirement Systems (retirement + system)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting60%

Selected Abstracts

Pension Valuation Under Uncertainties: Implementation of a Stochastic and Dynamic Monitoring System

JOURNAL OF RISK AND INSURANCE, Issue 2 2002
Shih-Chieh Chang
Financial soundness and funding stability are two critical issues in pension fund management. First, we construct a generalized stochastic model to monitor the solvency risk and cash flow dynamics of the defined benefit pension plan. A semi-Markov process proposed by Dominicis et al. (1991) and Janssen and Manca (1997) is employed in structuring the transition pattern of the plan's population, and the economic-based factors are generated through plausible stochastic processes. Modifications according to classification and movements of the plan member and the plan's turnover pattern are also employed to improve its practical usefulness. Then the actuarial valuations, cash flow analyses, and workforce projection are performed and investigated. Second, we explicitly formulate the plan dynamics and implement the proposed mechanism into a risk management framework for pension management. By employing the stochastic and dynamic approach, the cost factors can be monitored throughout the valuation process. Third, we outline the procedure of implementing the proposed methodology into a monitoring system. Finally, the Taiwan Public Employees Retirement System is simplified to illustrate techniques in achieving risk management goals. [source]

Annuity Values in Defined Contribution Retirement Systems: Australia and Singapore Compared

THE AUSTRALIAN ECONOMIC REVIEW, Issue 4 2004
Suzanne Doyle
Annuities promise to play an increasingly important role in countries with national defined contribution retirement systems. In this article we examine life annuities in two countries, Singapore and Australia, each of which has a national mandatory pension program. Exploiting data on annuity pricing and purchase behaviour, we compare the money's worth of life annuity products across these two nations. Our results indicate that, after controlling on administrative loadings, there are important differences in measured adverse selection. Part of the explanation may be due to the different structures of the two countries'retirement systems. [source]

Managing a phased retirement program: The case of UNC

NEW DIRECTIONS FOR HIGHER EDUCATION, Issue 132 2005
Steven G. Allen
The implications of the policy choices made in setting up a phased retirement system are demonstrated by its variety of outcomes. [source]

Annuity Values in Defined Contribution Retirement Systems: Australia and Singapore Compared

THE AUSTRALIAN ECONOMIC REVIEW, Issue 4 2004
Suzanne Doyle
Annuities promise to play an increasingly important role in countries with national defined contribution retirement systems. In this article we examine life annuities in two countries, Singapore and Australia, each of which has a national mandatory pension program. Exploiting data on annuity pricing and purchase behaviour, we compare the money's worth of life annuity products across these two nations. Our results indicate that, after controlling on administrative loadings, there are important differences in measured adverse selection. Part of the explanation may be due to the different structures of the two countries'retirement systems. [source]

Negative binomial version of the Lee,Carter model for mortality forecasting

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 5 2007
Antoine Delwarde
Abstract Mortality improvements pose a challenge for the planning of public retirement systems as well as for the private life annuities business. For public policy, as well as for the management of financial institutions, it is important to forecast future mortality rates. Standard models for mortality forecasting assume that the force of mortality at age x in calendar year t is of the form exp(,x + ,x,t). The log of the time series of age-specific death rates is thus expressed as the sum of an age-specific component ,x that is independent of time and another component that is the product of a time-varying parameter ,t reflecting the general level of mortality, and an age-specific component ,x that represents how rapidly or slowly mortality at each age varies when the general level of mortality changes. The parameters are usually estimated via singular value decomposition or via maximum likelihood in a binomial or Poisson regression model. This paper demonstrates that it is possible to take into account the overdispersion present in the mortality data by estimating the parameter in a negative binomial regression model. Copyright © 2007 John Wiley & Sons, Ltd. [source]