PENSION WEALTH AT MIDLIFE:COMPARING SELF-REPORTS WITH PROVIDER DATA

This paper evaluates the accuracy of estimates of pension wealth based on self-reports by comparing them to estimates based on provider data. Using data from the Health and Retirement Study, we found that few workers are well informed about their future pension benefits. Self-reports were often incomplete and typically varied widely from those based on information from providers. In defined benefit (DB) plans, discrepancies were greatest for workers who had limited education, earned low wages, and did not expect to retire soon. Differences in median pension wealth were smaller at the aggregate level than the individual level, because individual differences tended to offset each other when aggregated. Provider data appear better than self-reports for DB plans, but not for defined contribution (DC) plans. Where both are available, the best method of computing pension wealth may be to estimate DB wealth from provider data and to estimate DC wealth from self-reports.     

Heterogeneity effects on the management of retirement fund

This article studies the importance of plan members’ heterogeneity to the management of defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund that allows for heterogeneity in plan members’ retirement ages, salary growths and other characteristics. We first solve analytically for optimal management strategy and show that the sponsor’s supplementary contribution and the fund’s allocation in risky assets are determined by the cross-product between the fund’s expected retirement liabilities and some heterogeneity-adjusted discount factors. We then demonstrate that the presence of heterogeneity can have a significant influence on the optimal management strategy and that a management decision made while ignoring heterogeneity will be suboptimal. The knowledge of desirable and undesirable effects of heterogeneity that we uncover in this article also provides implications to the grouping of fund members. Introducing a presence of young member whose salary is positively correlated with the risky asset and avoid stacking members with negative correlations will all help the management.     

生命周期、风险偏好和积累水平对DC型养老金资产配置策略的影响研究*

近年来,DC型养老金在我国得到了长足发展。DC型养老金的积累期长达数十年,如何通过有效的资产配置,实现参保人更高的养老效用是理论界和实务界都关注的问题。本文在默顿（Merton）连续时间最优投资-消费问题框架下,建立了DC型养老金最优资产配置问题的随机优化模型。以此为基础,本文研究了生命周期、风险偏好和积累水平对养老金积累期最优资产配置策略的影响。进而,通过Monte Carlo模拟,本文研究了最优资产配置策略与恒定资产配置比例策略下养老金积累效果的优劣。本文的结论证明,在放开DC型养老金投资限制的条件下,引入“生命周期基金”和“生命特征基金”,引导最优资产配置很有必要。     

The portable guarantee to exchange back an old defined benefit for a new defined contribution (DC) pension plan

As a defined contribution (DC) pension plan is introduced to replace a defined benefit (DB) pension plan, the portability benefit from a DC pension plan costs the employees to bear the investment risk from managing the pension fund. To protect the retirement income and maintain the portability benefit, a guarantee to exchange back the old defined benefit is supposed to be demanded for the new DC plan's participants in the guarantee market. In light of such a demand, this article applies a claim-terminating insurance pricing model to offer a contingent claims pricing model for a portable pension guarantee. Using the new labor pension plan of Taiwan as an illustration, a guaranteed DC pension will carry an extra cost of almost 50% up to over 100% of the plan's contributions over the participant's work life, given the current mandatory minimum requirement of a contribution rate of 6%.     

Earnings,social security legislation and retirement decisions: the Austrian experience

This paper analyses the labour supply behaviour of elderly males in Austria and asks how far it is determined by the characteristics of the Austrian Social Security System. This is of particular interest because old age insurance in Austria is dominated by the public pension plan, so that private pension plans are of minor importance. I argue that from a theoretical point of view the actuarial unfairness of the insurance plan creates a strong incentive to withdraw from the labour force at the minimum retirement age. Secondly, the rising earnings replacement ratio might be responsible for the decreasing average retirement age. These hypotheses are tested empirically. A pooled time-series cross-sections labour force participation model is estimated for single birth year cohorts of elderly males. I find strong evidence for the proposition, that the age-participation pattern might be determined by the incentives created by social security and that the decrease in labour force participation rates over time may be due to the rising earnings replacement ratio. Remaining differences in labour force participation of elderly males may be attributable to cohort population size and to a long run trend.     

Retirement expectations, pension reforms, and their impact on private wealth accumulation

We estimate the effect of pension reforms on households' expectations of retirement outcomes and private wealth accumulation decisions exploiting a decade of intense Italian pension reforms as a source of exogenous variation in expected pension wealth. The Survey of Household Income and Wealth, a large random sample of the Italian population, elicits expectations of the age at which workers expect to retire and of the ratio of pension benefits to pre-retirement income between 1989 and 2002. We find that workers have revised expectations in the direction suggested by the reform and that there is substantial offset between private wealth and perceived pension wealth, particularly by workers that are better informed about their pension wealth.     

Reforming occupational pension schemes: the case of the Netherlands

In many countries, occupational plans are being reformed away from defined-benefit (DB) to defined-contribution (DC) designs. This paper explores the case of the Netherlands, which features a particularly high ratio of occupational pension assets to GDP. Dutch occupational DB plans suffer from a number of serious weaknesses, including ambiguous ownership of assets, back-loading of benefits, and lack of tailor-made risk management. To address these weaknesses, we propose collective individual DC plans that are actuarially fair. These schemes maintain important strengths of collective schemes, such as mandatory saving, collective procurement, and pooling of biometric risks. At the same time, they eliminate intergenerational conflicts about risk management and distribution through transparent individual property rights on financial assets and tailor-made risk profiles in individual accounts. We show how the transitional burden due to phasing out the back-loading of pension benefits can be addressed without a substantial increase in contributions.     

THE PRESIDENT'S COMMISSION ON PENSION POLICY HOUSEHOLD SURVEY 1979: NET WEALTH DISTRIBUTIONS BY TYPE AND AGE FOR THE UNITED STATES

A household survey was done for the U.S. President's Commission on Pension Policy (1979-81). This paper reports on the net wealth of families in the United States for the year 1979, the first wave of the survey. The survey was begun in September 1979 and was a two-wave, nationwide random sample of households in the United States. The survey instrument gathered information on income, wealth, labor supply, participation in pension plans, vesting status, entitlement to various benefits, attitudinal views on retirement, social security wealth, and individual demographic characteristics. Details of the survey methodology are reported. A response rate of sixty-two percent was achieved among the 6,384 dwelling units in the first wave. Imputations are made to calculate the wealth embodied in private and public employee-based pensions. Included in this valuation is an adjustment for expected vesting status in the pension plan. Net wealth is examined by type and age of the head of household. The average net wealth of the family is $53,956, and the average value of retirement wealth is $3,281 which comprises about 5 to 6 percent of net wealth. The striking changes in the portfolio of net wealth are depicted over the cross-section of age cohorts. The oldest age cohort, 65 and over, is found to have for retirement wealth the lowest frequency of ownership, the lowest proportion of their portfolio in this form of wealth, and the second to lowest average value.     

U.S. Pensions in the 2000s: The Lost Decade?

The last three decades saw a sharp decline in traditional defined benefit (DB) pensions and a corresponding rise in defined contribution (DC) plans. Using the Survey of Consumer Finances from 1983 to 2010, I find that after robust gains in the 1980s and 1990s, pension wealth experienced a marked slowdown in growth from 2001 to 2007 and then fell in absolute terms from 2007 to 2010. Median augmented wealth (the sum of net worth, pensions, and Social Security wealth) advanced slower than median net worth from 1983 to 2007 and its inequality rose more, as DB wealth fell off. However, from 2007 to 2010, the opposite occurred. While median wealth plummeted by 41 percent and inequality spiked by 0.032 Gini points, median augmented wealth fell by only 21 percent and its Gini coefficient rose by only 0.009 points. The differences are due to the moderating influence of Social Security wealth.     

Occupation pension for public employees in the People's Republic of China: A new approach with defined benefit underpin pension plan

The State Council of the People's Republic of China announced a reformed pension plan for public employees with the occupation pension plan in January 2015, officially disclosing that the social pension systems for private and public employees will be unified. Our proposed occupation pension plan for public employees is one of the important components in transiting from a dual‐track pension system to a sustainable and unified system. We aim at providing a pension design, that is, the defined benefit (DB ) underpin pension with estimates of the costs and benefits. We have used a financial engineering approach to calculate the hedge contribution for a DB underpin hybrid pension plan benefit. We also treat pension benefit and salaries in aggregate. Therefore, we propose a stochastic and exogenous salary model. Employees’ total benefits can be determined by multiple factors, such as inflation, economic environment, and employer's preference. However, the expectation of employees’ total benefits should not be affected by the change of salary and pension benefits. Our results could facilitate the ongoing pension reform in the People's Republic of China, providing a rigorous benchmark with public policy implications as to plan design, cost estimation, as well as risk management approach.     

The effects of recent Spanish pension reforms on sustainability and pension adequacy

The Spanish pension system has been recently reformed as a response to the demographic challenge and with the objective of ensuring the sustainability of the pension system in the long-term. The overall reforms include changes in the majority of the system parameters, a new indexation rule and a sustainability factor that links life expectancy and the first pension amount. The aim of this work is to analyse how these reforms affect two important features of a pension system: fiscal sustainability and adequacy. For this purpose, the real internal rate of return (IRR) of the lifetime contributions and benefits and the prospective gross theoretical replacement rate (TRR), both before and after the reforms, have been computed. The calculations are case-study based, for a few hypothetical workers who are sufficiently representative of the earnings and retirement patterns in Spain. The results show that the real IRR is 0.7 p.p. lower and the prospective gross TRR is 18 p.p. lower after the reform process for the base case of a man with an uninterrupted career of 40 years with average earnings and a retirement age of 65. In addition, pension reform process in Spain has different effects among the individuals depending on the gender, level of earnings, retirement age and career length.     

国外职业年金的运作模式选择

目前世界各国的职业年金计划运作模式主要有给付确定型计划和缴费确定型计划两种.针对两种职业年金计划运作模式,结合英国、波兰和美国的职业年金改革实践,从受益者角度看,两种制度各有利弊.缴费确定型计划近年来在各国迅速取代给付确定型计划模式,而中国的企业年金计划则选择基金制的缴费确定型计划运作模式.     

The public–private sector gender wage differential in Britain: evidence from matched employee-workplace data

This article shows that little of the gender earnings gap in the public and private sectors in Britain are explained by differences in employee characteristics. The differences in workplace characteristics, however, make a significant, sizeable contribution. It is shown that performance related pay and company pension schemes are associated with higher relative earnings in the private sector, whilst increased provision of family-friendly employment practices in the public sector is associated with higher relative earnings for women.     

The Joint Distribution of Net Worth and Pension Wealth in Germany

The research on wealth inequality has generally focused on real and financial assets, while giving little attention to pension wealth: the present value of future pension entitlements from public and company pension schemes. This is surprising given the important role pension plans play in guaranteeing material security and well‐being for a majority of the population, and suggests that they should be accounted for in peoples’ wealth portfolios. Using novel data from the Socio‐Economic Panel (SOEP), we study the incidence, relevance, and distribution of individual pension wealth, net worth, and augmented wealth (the sum of the two) in Germany. Further, we investigate age‐wealth profiles and differences between East and West Germany.     

U.S. INCOME, SAVING, AND WEALTH, 1929—1969

The objective of this paper is to present income and expenditure accounts, accumulation accounts, and the asset side of the wealth accounts for the U.S. private national economy in current and constant prices. These accounts are integrated with the production and factor outlay accounts for the U.S. private domestic economy in current and constant prices given in our earlier papers. Taken together, these accounts constitute a complete accounting system in current and constant prices for the private sector of the U.S. economy.
Our complete accounting system incorporates a new concept of the standard of living, defined as the ratio of the quantity index of gross private national expenditures to the quantity index of gross private national consumer receipts. Our concept of the standard of living is similar but not identical to our concept of total factor productivity. Changes in the private standard of living reflect both changes in total factor productivity and changes in the proportion of the total product consumed in the public sector.     

Pension Reforms: An Illustrated Basic Analysis

The paper examines pension reforms under population ageing.The concepts of "implicit pension debt", "implicit tax" and"internal rate of return" are first introduced with the helpof a three-period model. Using stylised facts, ageing is tracedto low fertility and increasing longevity. Formulating a benchmarkfor intergenerational fairness leads to a framework for designingpension reforms such that leaving an unfair burden to futuregenerations is avoided. Secondly, a yearly simulation modelis used to arrive at the following main results for reform blueprints: (1) In a Defined Benefit (DB) system, partial pre-funding isneeded to achieve intergenerational fairness unless benefitsare sufficiently reduced; partial privatisation is an optionfor the management of the accumulating funds. (2) Transition from a DB to a Notional Defined Contribution(NDC) system is another reform option; it reduces the replacementrates to levels which match prescribed contribution rates; anNDC public pillar can be accompanied by a second pillar, managedby the private sector. (3) An effective increase in the retirement age is necessaryto moderate the increase in pension expenditure and to preserveadequate pension levels. (4) Pension reforms have important effects on public financetarget setting. (JEL H1, H5, H6)     

中国企业年金税收优惠政策的比较与选择

2005年,随着首批金融机构获得企业年金经办资格认证,中国企业年金保险进入到具体实施阶段.然而,直到2006年底,关于企业年金的缴费方式、基金的投资管理、给付机制、法规监管以及税收优惠政策等一系列相关问题仍未解决,成为严重制约企业年金市场发展的瓶颈.本文着重从企业年金税收优惠政策的比较与选择入手,结合城镇基本养老保险的情况,通过核算国家税式支出、企业年金积累额等指标,对国家采取适当的企业年金税收优惠政策去引导和促进企业年金市场的发展提出理论依据.     

Smoothing the waves of pension funding: Could changes in funding rules help avoid cyclical under‐funding?

Defined benefit pensions are still an important part of retirement income security for 44 million people. After 2000, these plans experienced extreme difficulties. Although the magnitude of the problem was unprecedented, its causes were not. Interest rate and asset prices decline in a recession, when earnings are low. Pension funding rules reflect this regularity. This requires additional contributions when times are bad. We address this counter‐cyclicality through three proposed rule changes. We use a simulation model to evaluate these. Our results indicate that counter‐cyclicality would have diminished, while funding adequacy would have improved.     

延迟退休年龄与养老保险收支余额:作用机制及政策效应

文章通过连续时间养老金收支模型分析认为延迟退休年龄对养老保险计划收支余额的影响来自四个方面的效应,即缴费年限效应、领取年限效应、替代率效应和差异效应。改革的最终效果是上述四种效应共同作用的结果。短期看,前两种效应占据主导;长期看,后两种效应也具有显著影响。延迟退休年龄的政策效果和工资增长率、养老金增长率、改革速度以及未来参保人口结构有关。理论分析和实证检验结果表明,无论从改革过程还是从对养老保险计划收支余额的影响看,延迟退休年龄都是一个复杂而渐进的过程,延迟退休年龄必将减轻政府在养老保险方面负担的传统说法并不全面。     

Pension expectations,reforms and macroeconomic downturn in Italy. What can microdata tell us?

We use different years of the Bank of Italy’s Survey on Household Income and Wealth (SHIW) to explore how Italian workers’ expectations regarding their future level of pension benefits and retirement age changed from 2000 to 2014. Comparing expected and statutory values for future pension benefits and retirement ages, we find that knowledge of the pension system and its rules are not evenly distributed among workers. Some sections of the population, in particular, younger workers, women and the self-employed, are less precise in estimating their future pension benefits. As for retirement age, a large share of the working population still has not completely assimilated the implications of the linkage with the evolution of lifetime expectations at 65. Expectations in the final part of the period observed are dominated by increasing pessimism, which may be related to the macroeconomic crisis of the Italian economy and to the approval of a severe pension reform in 2011. Checking whether a household’s total wealth is consistent with lifetime consumption, we find that households where the head overestimates the future value of the pension benefit accumulate fewer resources than the remaining part of the population.