Subjective Economic Risk to Beneficiaries in Notional Defined Contribution Accounts
Inmaculada Domínguez‐Fabián and
José Enrique Devesa‐Carpio
Authors registered in the RePEc Author Service: Carlos Vidal-Melia ()
Journal of Risk & Insurance, 2006, vol. 73, issue 3, 489-515
This article aims to quantify the aggregate subjective economic risk to which beneficiaries would be exposed if a retirement pension system based on notional account philosophy were introduced. We use scenario generation techniques to make projections of the factors that determine the real expected internal rate of return (IRR) and the expected replacement rate (RR) for the beneficiary according to six retirement formulae based on the most widely accepted rates or indices. We then apply the model to the case of Spain. Our projections are based on Herce and Alonso's macroeconomic scenario 2000–2050 (2000) and include information about the past performance of the indices and the time period the forecast is to cover. The results of the IRR calculation—average value, standard deviation, and value‐at‐risk (VaR)—are analyzed both in objective terms and for different degrees of participants' risk aversion.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:73:y:2006:i:3:p:489-515
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Risk & Insurance is currently edited by Joan T. Schmit
More articles in Journal of Risk & Insurance from The American Risk and Insurance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().