Economics at your fingertips  

Subjective Economic Risk to Beneficiaries in Notional Defined Contribution Accounts

Carlos Vidal‐Meliá, 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

Abstract: 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.

Date: 2006
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)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

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 ().

Page updated 2021-06-07
Handle: RePEc:bla:jrinsu:v:73:y:2006:i:3:p:489-515