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Designing Social Security - A Portfolio Choice Approach

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Author Info
Matsen, E.
Thogersen, O.

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Abstract

Public social security systems may provide diversification of risks to individuals' life-time income. Capturing that a pay-as-you-go program (paygo) may be considered as a "quasi-asset", we study the optimal size of the social security program as well as the optimal split between a funded part and a paygo part by means of a theoretical portfolio choice approach.

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Publisher Info
Paper provided by Norwegian School of Economics and Business Administration- in its series Papers with number 21/2001.

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Length: 24 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fth:norgee:21/2001

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Postal: NORWEGIAN SCHOOL OF ECONOMICS AND BUSINESS ADMINISTRATION, HELLEVEIEN 30, 5035 BERGEN SANDVIKEN NORWAY.
Phone: 5595 9000
Fax: 5595 9100
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Related research
Keywords: SOCIAL SECURITY ; RISK ; PORTFOLIO;

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Find related papers by JEL classification:
H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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.:

  1. Roger H. Gordon & Hal R. Varian, 1985. "Intergenerational Risk Sharing," NBER Working Papers 1730, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Thogersen, Oystein, 2001. "Reforming Social Security: Assessing the Effects of Alternative Funding Strategies," Applied Economics, Taylor and Francis Journals, vol. 33(12), pages 1531-40, October. [Downloadable!] (restricted)
  3. Feldstein, Martin, 1996. "The Missing Piece in Policy Analysis: Social Security Reform," American Economic Review, American Economic Association, vol. 86(2), pages 1-14, May.
    Other versions:
  4. Hassler, John & Lindbeck, Assar, 1997. "Intergenerational Risk Sharing, Stability and Optimality of Alternative Pension Systems," Working Paper Series 493, Research Institute of Industrial Economics. [Downloadable!]
    Other versions:
  5. Andreas Wagener, 2001. "On Intergenerational Risk Sharing within Social Security Schemes," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  6. Robert C. Merton, 1981. "On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable," NBER Working Papers 0743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Laurence Ball & N. Gregory Mankiw, 2001. "Intergenerational Risk Sharing in the Spirit of Arrow, Debreu, and Rawls, with Applications to Social Security Design," Harvard Institute of Economic Research Working Papers 1921, Harvard - Institute of Economic Research. [Downloadable!]
    Other versions:
  8. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02. [Downloadable!] (restricted)
  9. Persson, Mats, 2000. "Five Fallacies in the Social Security Debate," Seminar Papers 686, Stockholm University, Institute for International Economic Studies. [Downloadable!]
  10. Laurence J. Kotlikoff, 1996. "Privatization of Social Security: How It Works and Why It Matters," NBER Chapters, in: Tax Policy and the Economy, Volume 10, pages 1-32 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  11. Miles, David K, 2000. "Funded and Unfunded Pensions: Risk, Return and Welfare," CEPR Discussion Papers 2369, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  12. Dutta, Jayasri & Kapur, Sandeep & Orszag, J. Michael, 2000. "A portfolio approach to the optimal funding of pensions," Economics Letters, Elsevier, vol. 69(2), pages 201-206, November. [Downloadable!] (restricted)
  13. Andrew B. Abel, 2001. "The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks," American Economic Review, American Economic Association, vol. 91(1), pages 128-148, March. [Downloadable!] (restricted)
    Other versions:
  14. James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring. [Downloadable!] (restricted)
  15. Robert C. Merton, 1983. "On the Role of Social Security as a Means for Efficient Risk Sharing in an Economy Where Human Capital Is Not Tradable," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 325-358 National Bureau of Economic Research, Inc. [Downloadable!]
  16. Sinn, Hans-Werner, 1999. "Pension Reform and Demographic Crisis: Why a Funded System is Needed and why it is not Needed," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  17. John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
    Other versions:
  18. Enders, Walter & Lapan, Harvey E, 1982. "Social Security Taxation and Intergenerational Risk Sharing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 647-58, October. [Downloadable!] (restricted)
    Other versions:
  19. Walter Enders & Harvey Lapan, 1993. "A model of first and second-best social security programs," Journal of Economics, Springer, vol. 7(1), pages 65-90, December. [Downloadable!] (restricted)
    Other versions:
  20. Bertocchi, Graziella & Kehagias, Athanasios, 1995. "Efficiency and optimality in stochastic models with production," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 303-325. [Downloadable!] (restricted)
  21. Fehr, Hans, 2000. " Pension Reform during the Demographic Transition," Scandinavian Journal of Economics, Blackwell Publishing, vol. 102(3), pages 419-43, June. [Downloadable!] (restricted)
  22. Olivier Jean Blanchard & Philippe Weil, 1992. "Dynamic Efficiency, the Riskless Rate, and Debt Ponzi Games Under Uncertainty," NBER Working Papers 3992, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  23. Andreas Wagener, 2003. "Pensions as a portfolio problem: fixed contribution rates vs. fixed replacement rates reconsidered," Journal of Population Economics, Springer, vol. 16(1), pages 111-134, 02. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Hans Fehr & Christian Habermann, 2005. "Risk Sharing and Efficiency Implications of Progressive Pension Arrangements," DNB Working Papers 064, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  2. Beetsma, Roel / Romp, Ward E. / Vos, Siert J., 2008. "Intergenerational Risk Sharing, Pensions and Endogenous Labor Supply in General Equilibrium," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  3. Øystein Thøgersen, 2006. "Intergenerational Risk Sharing by Means of Pay-as-you-go Programs – an Investigation of Alternative Mechanisms," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  4. Marcello D’Amato & Vincenzo Galasso, 2008. "Political Intergenerational Risk Sharing," Working Papers 342, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    Other versions:
  5. Markus Knell, 2008. "The Optimal Mix Between Funded and Unfunded Pensions Systems When People Care About Relative Consumption," Working Papers 146, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  6. Ennio Bilancini & Massimo D'Antoni, 2008. "Pensions and Intergenerational Risk-Sharing When Relative Consumption Matters," Department of Economics University of Siena 541, Department of Economics, University of Siena. [Downloadable!]
  7. Willem Heeringa, 2008. "Optimal life cycle investment with pay-as-you-go pension schemes: a portfolio approach," DNB Working Papers 168, Netherlands Central Bank, Research Department. [Downloadable!]
  8. Beetsma, Roel & Bovenberg, A Lans & Romp, Ward E, 2008. "Funded Pensions and Intergenerational and International Risk Sharing in General Equilibrium," CEPR Discussion Papers 7106, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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