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on Economics of Ageing |
| By: | Catherine Donnelly (Department of Actuarial Mathematics and Statistics, and the Maxwell Institute for Mathematical Sciences, Heriot-Watt University); Russell Gerrard (Cass Business School, City University London); Montserrat Guillén (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona); Jens Perch Nielsen (Cass Business School, City University London) |
| Abstract: | We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By constraining the investor to have no more than the target wealth at retirement, we find that the lower quantiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth are eliminated. |
| Keywords: | Pension, Savings, Annuity, Investment, Retirement planning |
| Date: | 2015–02 |
| URL: | http://d.repec.org/n?u=RePEc:bak:wpaper:201502&r=age |
| By: | Dmitriev, Mikhail (Russian Presidential Academy of National Economy and Public Administration (RANEPA)) |
| Abstract: | Foreign experience shows that, as a rule, contributions for compulsory pension insurance paid by both employees and employers. In Russia, the premiums are paid entirely by employers. Under the current system of administration of insurance contributions for compulsory pension insurance there is a conflict between the tax and insurance essence of this payment. |
| Keywords: | retirement, pension, insurance, Russia, tax |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:ppaper:r90215&r=age |
| By: | Dormidontova, Yulia (Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Institute for Social Analysis and Forecasting of Russian Presidential Academy of National Economy and Public Administration); Nazarov, Vladimir (Gaidar Institute for Economic Policy; Russian Presidential Academy of National Economy and Public Administration); A. Tikhonova (Independent) |
| Abstract: | The basic concepts of investment portfolio forming as a whole and the investment portfolio of pension funds, in particular, are overviewed in this paper, the main risks faced by the participants in the pension market, are analyzed, as well as their relevance for different types of assets, and methods of assessing these risks. The analysis of the problems faced by pension funds operating in conditions of the pension plans, defined contribution, and in terms of pension plans with defined benefits, was made. Part of the investment portfolios of pension funds in the Russian pension market, as well as the question of the importance of risk-based supervision for effective implementation of the optimal investment policy of pension funds, is overviewed. |
| Keywords: | investment portfolio, investment strategy, pension funds |
| Date: | 2014–07 |
| URL: | http://d.repec.org/n?u=RePEc:rnp:ppaper:r90227&r=age |
| By: | Maxime Comeau; Denis Latulippe |
| Abstract: | Methodology to estimate effective retirement age from the labor market has been developed over the last 15 years and is now commonly used for experience review and policy development. However, both transition from work to retirement (including gradual retirement) and the socio-economic environment have evolved over this period which includes the 2008 economic crisis. This paper presents innovative ways to estimate retirement age, in order to better assess effective retirement from employment and not only focus on labor force participation rates. It also makes possible the distinction between retirement from full-time employment vs part-time employment. Results are presented for four countries (Austria and Germany, Ireland and the United Kingdom) with rather diverging experience Depuis une quinzaine d’années, une méthodologie a été développée pour permettre l’estimation de l’âge effectif de retraite du marché du travail, et cette méthodologie est maintenant utilisée sur une base régulière pour suivre l’expérience et apporter un éclairage en matière de développement de politiques. Le processus de transition travail-retraite et l’environnement socio-économique ont cependant évolué de façon significative au cours des dernières années, incluant la crise économique et financière de 2008. Ce papier présente des façons novatrices d’estimer l’âge de retraite, mettant l’accent sur l’emploi effectif des travailleurs âgés et ne référant pas exclusivement aux taux d’activité. La méthodologie retenue permet également une distinction entre la retraite d’un emploi à temps plein vs la retraite de tout emploi. Les résultats sont présentés pour quatre pays (Autriche, Allemagne, Irlande et Royaume-Uni) caractérisés par des situations divergentes au cours des dernières années. |
| Keywords: | Retirement age, Work-retirement transition, Gradual retirement, Retirement experience, Older workers’ employment, Retirement age estimation, âge de la retraite, transition travail-retraite, retraite graduelle, expérience de la retraite, emploi des travailleurs âgés, estimation de l’âge de la retraite |
| Date: | 2015–03–18 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2015s-13&r=age |
| By: | K.M. van Leeuwen; J. Malley; J.E. Bosmans; A.P.D. Jansen; R.W. Ostelo; H.E. van der Horst; A. Netten |
| Abstract: | Local authorities spend considerable resources on social care at home for older adults. Given the expected growth in the population of older adults and budget cuts on local government, it is important to find efficient ways of maintaining and improving the quality of life of older adults. The ageing in place literature suggests that policies in other functions of local authorities may have a significant role to play. This study aims to examine the associations between social care-related quality of life (SCRQoL) in older adults and three potential policy targets for local authorities: (i) accessibility of information and advice, (ii) design of the home and (iii) accessibility of the local area. We used cross-sectional data from the English national Adult Social Care Survey (ASCS) 2010/2011 on service users aged 65 years and older and living at home (N=29,935). To examine the association between SCRQoL, as measured by the ASCOT, and three single-item questions about accessibility of information, design of the home and accessibility of the local area, we estimate linear and quantile regression models. After adjusting for physical and mental health factors and other confounders our findings indicate that SCRQoL is significantly lower for older adults who find it more difficult to find information and advice, for those who report that their home design is inappropriate for their needs and for those who find it more difficult to get around their local area. In addition, these three variables are as strongly associated with SCRQoL as physical and mental health factors. We conclude that in seeking to find ways to maintain and improve the quality of life of social care users living at home, local authorities could look more broadly across their responsibilities. Further research is required to explore the cost-effectiveness of these options compared to standard social care services. |
| Keywords: | quality of life; older adults; social care; local policy |
| JEL: | I18 |
| Date: | 2014–09 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:58022&r=age |
| By: | Daniel Gottlieb; Olivia S. Mitchell |
| Abstract: | We propose a model of narrow framing in insurance and test it using data from a new module we designed and fielded in the Health and Retirement Study. We show that respondents subject to narrow framing are substantially less likely to buy long-term care insurance than average. This effect is distinct from, and much larger than, the effects of risk aversion or adverse selection, and it offers a new explanation for why people underinsure their later-life care needs. |
| JEL: | D03 G22 I13 |
| Date: | 2015–03 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:21048&r=age |
| By: | Clemente De Rosa; Elisa Luciano; Luca Regis |
| Abstract: | This paper provides the static, swap-based hedge for an annuity, and compares it with the dynamic, delta-based hedge, achieved using longevity bonds. We assume that the longevity intensity is distributed according to a CIR-type process and provide closed-form derivatives prices and hedges, also in presence of an analogous CIR process for interest rate risk. Our calibration to 65-year old UK males shows that – once interest rate risk is perfectly hedged – the average hedging error of the dynamic hedge is moderate, and both its variance and the thickness of the tails of its distribution are decreasing with the rebalancing frequency. The spread over the basic "swap rate" which makes 99.5% quantile of the distribution of the dynamic hedging error equal to the cost of the static hedge lies between 0.01 and 0.04%. |
| Keywords: | longevity risk, static vs. dynamic hedging, longevity swaps, longevity bonds. |
| JEL: | G22 G32 |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:cca:wpaper:403&r=age |
| By: | Kieran McQuinn (Economic and Social Research Institute); Karl Whelan (University College Dublin) |
| Abstract: | Even before the financial crisis of 2007/08, there were significant questions about Europe's long-term growth prospects. After a long period of catching up with US levels of labour productivity, euro area productivity growth had, from the mid-1990s onwards, fallen significantly behind. Using data for the period 1970 to 2006, McQuinn and Whelan (2008) identified declining rates of total factor productivity (TFP) growth and weaker capital accumulation as areas for concern in an European context. In updating this earlier analysis, we find that the growth prospects of the euro area have deteriorated further. With TFP growth contin- uing to fall, Europe's demographics are now also contributing to a decline in the workforce. Against this backdrop, we provide a long-term projection for euro area GDP based on unchanged policies and discuss the possible impacts of certain structural reforms including potential changes in the unemployment rate, pension reform and the successful implementation of a significant wider programme of regulatory reform that boosts TFP growth. We argue that, even with the successful adoption of these measures, the European economy is still likely to grow at a slower pace than it has in the past. |
| Keywords: | Growth, Euro Area, Demographics, Structural Reforms |
| JEL: | O40 O47 O16 |
| Date: | 2015–03–20 |
| URL: | http://d.repec.org/n?u=RePEc:ucn:wpaper:201508&r=age |