Advanced Search
MyIDEAS: Login to save this article or follow this journal

Early Warning to Insolvency in the Pension Fund: The French Case

Contents:

Author Info

  • Noël Bonneuil

    ()
    (Institut mational d'études démographiques, 133, bld Davout, 75980, Paris cedex 20, France
    Ecole des hautes études en sciences sociales, 190 Avenue de France, F—75013 Paris, France)

Registered author(s):

    Abstract

    The financial equilibrium of pension funds relies on the appropriate computation of retirement benefits, taking account of future payments and discount rates. Short-term errors in the commitment for retirement benefits, ill-suited investment in the stock market, or improper mixture with pay-as-you-go payments have long-term consequences and may lead the pension fund to insolvency. The differential equation governing the current assets shows the respective weights associated with the error on the interest rate, the error on the extra bonus, and the error made in forecasting mortality. These weights are estimated through simulations. A short follow-up is sufficient to estimate the three errors. A threshold for the extra interest rate to be earned on the financial market is given to counter-balance the extra bonus when mortality is forecast correctly.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.mdpi.com/2227-9091/1/1/1/pdf
    Download Restriction: no

    File URL: http://www.mdpi.com/2227-9091/1/1/1/
    Download Restriction: no

    Bibliographic Info

    Article provided by MDPI, Open Access Journal in its journal Risks.

    Volume (Year): 1 (2013)
    Issue (Month): 1 (January)
    Pages: 1-13

    as in new window
    Handle: RePEc:gam:jrisks:v:1:y:2013:i:1:p:1-13:d:22969

    Contact details of provider:
    Web page: http://www.mdpi.com/

    Related research

    Keywords: pension funding; retirement benefits; control differential equation; misestimation of mortality;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Bowers, Newton Jr. & Hickman, James C. & Nesbitt, Cecil J., 1982. "Notes on the dynamics of pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 1(4), pages 261-270, October.
    2. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.
    3. Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942, September.
    4. Ponds, E.H.M., 2003. "Pension funds and value-based generational accounting," Open Access publications from Tilburg University urn:nbn:nl:ui:12-347898, Tilburg University.
    5. Gollier, Christian, 2008. "Intergenerational risk-sharing and risk-taking of a pension fund," Journal of Public Economics, Elsevier, vol. 92(5-6), pages 1463-1485, June.
    6. Møller,Thomas & Steffensen,Mogens, 2007. "Market-Valuation Methods in Life and Pension Insurance," Cambridge Books, Cambridge University Press, number 9780521868778.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:1:y:2013:i:1:p:1-13:d:22969. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (XML Conversion Team).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.