| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14332 |
| 来源ID | Working Paper 14332 |
| Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints | |
| Raimond Maurer; Olivia S. Mitchell; Ralph Rogalla | |
| 发表日期 | 2008-09-10 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk (CVaR) restriction on overall plan costs into the pension manager's objective of controlling contribution rate volatility. After estimating the contribution rate that would fully fund future benefit promises for current and prospective employees, we identify the optimal contribution and investment strategy that minimizes contribution rate volatility while restricting worst-case plan costs. Finally, we analyze the time path of expected and worst-case contribution rates to assess the chances of reduced contribution rates for current and future generations. Our results show that moving toward a funded public pension system can be beneficial for both civil servants and taxpayers. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Public Economics ; Taxation ; National Fiscal Issues ; Subnational Fiscal Issues ; Labor Economics ; Labor Supply and Demand ; Labor Compensation |
| URL | https://www.nber.org/papers/w14332 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572005 |
| 推荐引用方式 GB/T 7714 | Raimond Maurer,Olivia S. Mitchell,Ralph Rogalla. Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14332.pdf（520KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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