| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6417 |
| DP6417 On the Optimal Number of Representatives | |
| Robert J. Gary-Bobo; Emmanuelle Auriol | |
| 发表日期 | 2007-08-03 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We model the asset allocation decision of a defined benefit pension fund using a stochastic dynamic programming approach. Our model recognizes the fact that asset allocation decisions are made by trustees who are mandated to act in the best interests of beneficiaries - not by sponsoring employers - and that trustees face payoffs that are linked in an indirect way to the value of the underlying assets. This is because of the presence of pension insurance - which may cover a portion of deficits in the event of a sponsor default - and a sponsoring employer who may make good any shortfall in assets, and who may reclaim some pension surplus. Our model includes an allowance for uncertainty both of the future value of assets (because of uncertain investment returns) and liabilities (because of uncertainty in future longevity and in future interest rates). We find that we are able to substantially replicate observed DB pension asset allocations in the UK and conclude that institutional details - in particular asymmetries in payoffs to pension trustees - are crucial in understanding pension asset allocation. |
| 主题 | Financial Economics |
| 关键词 | Pensions Portfolio allocation Longevity |
| URL | https://cepr.org/publications/dp6417 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535252 |
| 推荐引用方式 GB/T 7714 | Robert J. Gary-Bobo,Emmanuelle Auriol. DP6417 On the Optimal Number of Representatives. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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