There has been a surge of interest in recent years from defined benefit pension plan sponsors in de-risking their plans with strategies such as “longevity hedges” and “pension buyouts” (Lin et al., 2015). While buyouts are attractive in terms of value creation, they are capital intensive and expensive, particularly for firms with underfunded plans. The existing literature mainly focuses on the ...

With the constant improvement of the population average life expectancy, the pension personal account will face a growing risk, improvement of the pension fund system is crucial, this article from system design, the preferential tax, legal protection, operation mechanism, and fund supervision five aspects to the current situation of the endowment insurance fund system of China is analyzed, then...

In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, a member of the pension plan is given a possibility to switch periodically between m types of the funds with different risk profile and so actively manage her risk exposure and expected return. Minimization the multi-period...

The combination of low fertility, decreasing mortality and the baby-boom generation entering retirement will dramatically increase the share of elderly people in Slovenia in future decades. Without further changes in the pension system this will bring about strong pressure on the public pension system. In the analysis we use a cohort-based model to project the share of public expenditure on pen...

Pension reform still remains one of the major government agendas in South Korea, despite a series of reforms in 1998 and 2007. This paper argues that the unsatisfactory reforms were inevitable since those reform packages were based on traditional parametric reform retaining the DB (Defined Benefit) principle. Thus, this paper argues for a paradigm shift in designing the Korean pension system, w...

The threshold and constant proportion portfolio insurance (CPPI) strategies are considered for their application in managing defined-contribution (DC) pension plans. The pension plans invest in two types of asset, riskless asset and stocks, or bonds and stocks. When the objective of pension plan is to maximize expected terminal utility that is a function of terminal pension wealth with final wa...

We present descriptive statistics on pension participation and types of pensions among married couples, using data from the 1996/2008 Panels of the Survey of Income and Program Participation and Social Security administrative records. Previous research has focused on pension coverage by marital status, but has not examined couples as a unit. Because couples usually share income, viewing them as...

This paper provides a comprehensive analysis of the annual and of the long-term performance of personal pension funds relative to their Primary Prospectus Benchmarks (PPBs) and T-bills. The study covers 9,659 personal pension funds from across all 30 ABI investment sectors that operated in the UK in the 1980-2009 period. Of these, 4,531 pension funds are compared against their PPBs. We find con...

We investigate the relationship of pension fund governance and investment performance. For this purpose, we develop the Swiss Pensoin Fund Governance Index (SPGI) which is a standard metric for the governance quality of Swiss pension funds. The empirical analysis is based on a sample of 96 pension funds with total assets of more than CHF 190 billion. We …nd evidence for governance issues in the...

This paper examines the performance of fund managers responsible for managing the investment decisions of UK pension funds. The paper examines both individual fund manager performance of pension funds under management, and also the persistence of this performance over time. Previous work on UK pension funds has found little evidence of fund manager persistence, but we suggest that this might be...