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Riesgos de inversión y empleo en el sistema de pensiones chileno

Listed author(s):
  • Ortiz H., Roberto

    (Universidad Diego Portales)

  • Zurita L., Salvador

    (Universidad Adolfo Ibáñez)

  • Genoni, Gustavo

    (Universidad Adolfo Ibáñez)

Registered author(s):

    The Chilean private pension system is of Defined Contribution, and hence the future pension of its affiliates is uncertain. In this paper we study two factors that influence the level of pensions that an affiliate can expect to receive at retirement: temporal unemployment (and consequent lack of contributions) and the investment risk of the pension assets themselves. We model the wage curve over time of a representative Chilean affiliate, but we do not add risk to it. Instead, we focus on the risk of unemployment, which we model as a Markov process with two states: employed and unemployed. On the other hand, the investment risk is modeled assuming that the pension assets follow a Geometric Brownian motion. We use the model to estimate the probability distribution of pensions at retirement age; which allows us to estimate the likely impact of changes in the aggregate unemployment rate, and of risk and return on the future pensions. Our results are that the future pensions of Chilean affiliates are more sensitive to investment risks than to unemployment risks. Also, female affiliates are more vulnerable than male affiliates, and married male affiliates are more vulnerable than single ones.// El sistema de pensiones chileno es de capitalización individual con contribución definida y, en consecuencia, el monto futuro de la pensión no es conocido por el afiliado ex ante. En este trabajo estudiamos dos factores de riesgo que afectan las pensiones por recibir de los afiliados al sistema de pensiones chileno: desempleo temporal (y por tanto interrupciones en las cotizaciones) y riesgo de la rentabilidad del fondo. Para ello, desarrollamos un modelo en que los salarios dependen explícitamente de la edad del afiliado. En el modelo el riego de desempleo que afecta al afiliado se modela como un proceso de Markov con dos estados: empleado y desempleado; el riesgo de inversión se modela suponiendo que los fondos siguen un proceso browniano geométrico. Usamos el modelo para estimar la distribución de probabilidades de las pensiones de vejez futuras que el afiliado obtendría después de 35 a 40 años de vida laboral. Ello nos permite estimar el efecto probable de cambios en la tasa agregada de desempleo y de la rentabilidad esperada y riesgo de los activos financieros en la distribución de pensiones futuras. Partiendo de un panorama base estimado razonable para la economía chilena, encontramos que, en orden decreciente de importancia, los parámetros que más afectan las pensiones futuras son: la tasa de interés libre de riesgo, que repercute en la rentabilidad promedio de fondos, el premio por riesgo de mercado, definido como el excedente de rendimiento de acciones respecto al título libre de riesgo, y el desempleo. Es decir, el riesgo de inversión es más importante que el riesgo de desempleo. Además, las mujeres son más vulnerables a estos riesgos que los hombres, y los hombres casados más que los solteros.

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    Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

    Volume (Year): LXXIII (3) (2006)
    Issue (Month): 291 (julio-septiembre)
    Pages: 575-609

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    Handle: RePEc:elt:journl:v:73:y:2006:i:291:p:575-609
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