In this paper, we construct a general model for a pension fund when there are time delays in the valuation process. Actually, we use the standard structure of the basic reserve equation in order to rebuild a more soph...In this paper, we construct a general model for a pension fund when there are time delays in the valuation process. Actually, we use the standard structure of the basic reserve equation in order to rebuild a more sophisticated approach based on the theory of H<sub>∞</sub> control. Our model evaluates the incomplete information from the delayed fund valuations—due to the oscillatory pattern for benefit claims and investment experience of the past years—within the context of uncertainty additionally to the randomness which certainly exists. So, we construct estimations for the optimal proposed contribution rates based on a feedback mechanism which is a robust stabilization controller, using typical linear matrix inequalities. Finally, a numerical application is fully investigated to obtain further insight into the problem.展开更多
This work focuses on the optimization of investment contributions of pension asset with a view to improving contributors’ participation in achieving better return on investment (RoI) of their funds. We viewed some ne...This work focuses on the optimization of investment contributions of pension asset with a view to improving contributors’ participation in achieving better return on investment (RoI) of their funds. We viewed some new regulations on Nigeria’s Contributory Pension Scheme” (CPS) from amended legislation of 2014, some of which are yet to be implemented when their regulations are approved. A mathematical model involving 5 variables, 5 inequality constraints covering regulatory limitations and limitation on scarce resource known as Asset Under Management (AUM), suggested and mathematically shown to be possible through “maximization of return irrespective of risk” while obeying all regulatory controls as our constraints optimized. Optimized portfolio using MatLab shows that the portfolio representing AES 2013 portfolio with a deficit growth of 15.75 m representing 3.27% less than the portfolio’s full growth potential within defined assumptions would have been averted if contributors actually set their targets and investment managers optimize from forecasts of future prices using trend analysis.展开更多
This study focuses on the framework and achievements of China’s pension system,and analyses the long-term risk and institutional dilemmas.Because the existing pension system does not clearly define the responsibiliti...This study focuses on the framework and achievements of China’s pension system,and analyses the long-term risk and institutional dilemmas.Because the existing pension system does not clearly define the responsibilities among the government,the market and the individuals,the main challenge facing China’s current pension system is the huge future fund gap and the difficulty in coping with the risk of an ageing population.The proposal for China’s pension scheme reformation is to establish a three-pillar pension system:transfer the social pooling account into a public pension as the first pillar;merge the refilled personal account by transferring the state-owned assets and the enterprise annuity into the occupational pension as the second pillar;and promote the tax deferral individual pension plan as the third pillar.The roles and functions of the government in the three-pillar pension system are different:for the first pillar,it is fully responsible for the system construction,management and funding security;for the second and the third pillar,it is responsible for system construction and operational supervision.展开更多
This paper investigates the effects of postponing retirement on economic growth in an aging society by using the infinite overlapping generations model constructed by Blanchard (1985) in a simple endogenous growth fra...This paper investigates the effects of postponing retirement on economic growth in an aging society by using the infinite overlapping generations model constructed by Blanchard (1985) in a simple endogenous growth framework.It shows that postponing retirement may decelerate economic growth.展开更多
Pillar 1B(individual accounts)of the Chinese basic pension fund(BPF)has suffered from substantial underfunding due to a series of challenges such as rising longevity,conservative investment policies,and the fragmentat...Pillar 1B(individual accounts)of the Chinese basic pension fund(BPF)has suffered from substantial underfunding due to a series of challenges such as rising longevity,conservative investment policies,and the fragmentation of the pension system.Using an asset–liability model(ALM),we investigate the effects of the pre-2015 and post-2015 limits,as well as no limits,on asset allocations.We also investigate the likely effect on investment performance of transferring the pillar 1B funds to the Council of National Social Security Fund(NSSF)and raising the retirement age to 65.We find that an ALM is superior to an assets-only analysis,and removing the limits on investment in domestic assets(but not foreign assets)would be beneficial,as would transferring the assets to the NSSF and raising the retirement age.Finally,the official notional rate on individual accounts should be set at a realistic level.展开更多
文摘In this paper, we construct a general model for a pension fund when there are time delays in the valuation process. Actually, we use the standard structure of the basic reserve equation in order to rebuild a more sophisticated approach based on the theory of H<sub>∞</sub> control. Our model evaluates the incomplete information from the delayed fund valuations—due to the oscillatory pattern for benefit claims and investment experience of the past years—within the context of uncertainty additionally to the randomness which certainly exists. So, we construct estimations for the optimal proposed contribution rates based on a feedback mechanism which is a robust stabilization controller, using typical linear matrix inequalities. Finally, a numerical application is fully investigated to obtain further insight into the problem.
文摘This work focuses on the optimization of investment contributions of pension asset with a view to improving contributors’ participation in achieving better return on investment (RoI) of their funds. We viewed some new regulations on Nigeria’s Contributory Pension Scheme” (CPS) from amended legislation of 2014, some of which are yet to be implemented when their regulations are approved. A mathematical model involving 5 variables, 5 inequality constraints covering regulatory limitations and limitation on scarce resource known as Asset Under Management (AUM), suggested and mathematically shown to be possible through “maximization of return irrespective of risk” while obeying all regulatory controls as our constraints optimized. Optimized portfolio using MatLab shows that the portfolio representing AES 2013 portfolio with a deficit growth of 15.75 m representing 3.27% less than the portfolio’s full growth potential within defined assumptions would have been averted if contributors actually set their targets and investment managers optimize from forecasts of future prices using trend analysis.
文摘This study focuses on the framework and achievements of China’s pension system,and analyses the long-term risk and institutional dilemmas.Because the existing pension system does not clearly define the responsibilities among the government,the market and the individuals,the main challenge facing China’s current pension system is the huge future fund gap and the difficulty in coping with the risk of an ageing population.The proposal for China’s pension scheme reformation is to establish a three-pillar pension system:transfer the social pooling account into a public pension as the first pillar;merge the refilled personal account by transferring the state-owned assets and the enterprise annuity into the occupational pension as the second pillar;and promote the tax deferral individual pension plan as the third pillar.The roles and functions of the government in the three-pillar pension system are different:for the first pillar,it is fully responsible for the system construction,management and funding security;for the second and the third pillar,it is responsible for system construction and operational supervision.
文摘This paper investigates the effects of postponing retirement on economic growth in an aging society by using the infinite overlapping generations model constructed by Blanchard (1985) in a simple endogenous growth framework.It shows that postponing retirement may decelerate economic growth.
文摘Pillar 1B(individual accounts)of the Chinese basic pension fund(BPF)has suffered from substantial underfunding due to a series of challenges such as rising longevity,conservative investment policies,and the fragmentation of the pension system.Using an asset–liability model(ALM),we investigate the effects of the pre-2015 and post-2015 limits,as well as no limits,on asset allocations.We also investigate the likely effect on investment performance of transferring the pillar 1B funds to the Council of National Social Security Fund(NSSF)and raising the retirement age to 65.We find that an ALM is superior to an assets-only analysis,and removing the limits on investment in domestic assets(but not foreign assets)would be beneficial,as would transferring the assets to the NSSF and raising the retirement age.Finally,the official notional rate on individual accounts should be set at a realistic level.
