|
on Economics of Ageing |
| By: | Niels Kortleve; Eduard Ponds |
| Abstract: | Pension plan sponsors in the Netherlands are facing their second funding challenge in the past decade, this one more severe than the first. Following the economic crash in 2008-2009, the funding levels of most plans fell below the 105-percent threshold set by the Dutch supervisor, De Nederlandsche Bank, which requires recovery of the minimum funding ratio within five years. It is not yet clear, however, how plans will make up the deficits – except from profiting from a recovery of financial markets – and how the burden of any necessary adjustments will be spread among workers and retirees. Although earlier in the decade most Dutch pension plans were restructured to include automatic reductions in benefit indexation if funding drops below given thresholds, that mechanism may not be enough to achieve recovery this time around. Policymakers now have to consider more substantial measures, including contribution increases and nominal benefit cuts, actions few anticipated would be necessary. This brief proceeds as follows. The first section describes the evolution of Dutch pension funds over the past decade. The second section discusses the impact of the recent economic crisis on the pension funds. The third section examines the implications of various policy options for intergenerational risk sharing. The final section concludes that policymakers should consider improved plan design when making solvency adjustments. |
| Keywords: | private pensions, international issues |
| Date: | 2010–04 |
| URL: | http://d.repec.org/n?u=RePEc:crr:issbrf:ib2010-7&r=age |
| By: | Durant, D.; Frey, L. |
| Abstract: | The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions relative to probabilities of default (PDs): in the first procedure, firms are assumed to have identical default probabilities; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures lead to quite different loss distributions. For instance, a negative one standard deviation shock on output leads to a maximum loss of 3.07% of the financial debt of the French manufacturing sector, with a probability of 99%, under the identical default probability hypothesis versus 2.61% with individual default probabilities. |
| Keywords: | Consumption and savings, pension funds, social security and public pensions, portfolio choices and investment decisions. |
| JEL: | E21 G11 G23 H55 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:280&r=age |
| By: | Alba M. Franco-Pereira; Rosa E. Lillo; Moshe Shaked |
| Abstract: | Earlier researchers have studied some aspects of the classes of distribution functions with decreasing ?-percentile residual life (DPRL(?)), 0< ? <1. The purpose of this paper is to note some further properties of these classes, and to initiate a theory of nonparametric statistical estimation of decreasing ?-percentile residual life functions. Specifically, the close relationship between the DPRL(?) and the IFR (increasing failure rate) aging notions is studied. Other close relationships, between the DPRL(?) aging notions and the percentile residual life stochastic orders, are described, and further properties of the above classes of distributions are derived. Finally, we introduce an estimator of the percentile residual life function, under the condition that it decreases, and we prove its strongly uniform consistency. |
| Keywords: | Reliability theory, Hazard rate, Stochastic orders, Aging notions, Nonparametric estimation, Strongly uniform consistency |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:cte:wsrepe:ws101807&r=age |