EconPapers    
Economics at your fingertips  
 

Levelling the playing field: A VIX-linked structure for funded pension schemes

Jean-François Bégin

Insurance: Mathematics and Economics, 2020, vol. 94, issue C, 58-78

Abstract: In this article, we study intergenerational risk and cost sharing for a variety of collective funded pension plans. Inspired by the literature on contingent claim analysis in pension insurance, we derive time-varying contribution and benefit levels. The latter specifically include the fund surplus, which accounts for (intergenerational) risk sharing, and the VIX, which is related to cost sharing among generations. We find that pension schemes with a well-structured volatility-risk-adjusted component can be welfare enhancing for the entry and future cohorts. In addition, these schemes are fair from an ex ante perspective, provide adequate consumption profiles and high levels of satisfaction.

Keywords: Funded pension schemes; Hybrid pension plan; Intergenerational risk sharing; Volatility index; Fairness (search for similar items in EconPapers)
JEL-codes: G22 J32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668720300895
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:insuma:v:94:y:2020:i:c:p:58-78

DOI: 10.1016/j.insmatheco.2020.06.009

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-06-30
Handle: RePEc:eee:insuma:v:94:y:2020:i:c:p:58-78