Good Practice Principles in Modelling Defined Contribution Pension Plans

Kevin Dowd and David Blake
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Kevin Dowd: Business School, Durham University, Mill Hill Lane, Durham DHL 3LB, UK

JRFM, 2022, vol. 15, issue 3, 1-21

Abstract: We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and gender; modelling plan charges; modelling longevity risk; modelling the post-retirement period; integrating the pre- and post-retirement periods; modelling additional sources of income, such as the state pension and equity release; modelling extraneous factors, such as unemployment risk, activity rates, taxes and welfare entitlements; scenario analysis and stress testing; periodic updating of the model and changing assumptions; and overall fitness for purpose.

Keywords: defined contribution pension plans; PensionMetrics methodology; OECD Roadmap for the Good Design of Defined Contribution Pension Plans; EIOPA Good Practices on Information Provision for DC Schemes: Enabling Occupational DC Scheme Members to Plan for Retirement (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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