publication . Book . 2013

Good Practice Principles in Modelling Defined Contribution Pension Plans

Dowd, K.; Blake, D.;
Open Access English
  • Published: 01 Sep 2013
  • Publisher: Pensions Institute
  • Country: United Kingdom
Abstract
We establish 16 good practice principles in 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 entitlements; scenario analysis and stress testing; periodic upda...
Subjects
free text keywords: HG
Related Organizations

Blake, D., and Board, J. (2000) Measuring Value Added in the Pensions Industry, Geneva Papers on Risk and Insurance, 25 (4), 539-567.

Blake, D., Cairns, A., and Dowd, K. (2001) PensionMetrics: Stochastic Pension Plan Design During the Accumulation Phase, Insurance: Mathematics and Economics 29, 187-215.

Blake, D., Cairns, A., and Dowd, K. (2003) PensionMetrics 2: Stochastic Pension Plan Design During the Distribution Phase, Insurance: Mathematics and Economics 33, 29-47.

Blake, D., Cairns, A., and Dowd, K. (2007) The Impact of Occupation and Gender on Pensions from Defined Contributions Plans¸ Geneva Papers on Risk and Insurance 32, 458-482.

Blake, D., Cairns, A., and Dowd, K. (2009) Designing a Defined-Contribution Plan: What to Learn from Aircraft Designers, Financial Analysts Journal 65 (1), 37-42.

Cox, J. C., Ingersoll, J. E., Ross, S. A. (1985) A Theory of the Term Structure of Interest Rates, Econometrica 53 (2), 363-384.

Dowd, K. (2005) Measuring Market Risk. 2nd edition. Chichester: Wiley.

Dowd, K., Blake, D., and Cairns, A. (2010) Facing up to Uncertain Life Expectancy: The Longevity Fan Charts, Demography 47, 67-78.

Harrison, D., Blake, D., and Dowd, K. (2012) Caveat Venditor: The Brave New World of Auto-enrolment should be Governed by the Principle of Seller not Buyer Beware, Pensions Institute, October (pensionsinstitute.org/reports/caveatvenditor.pdf).

Hobcraft, J., Menken, J., and Preston, S. H. (1982) Age, Period and Cohort Effects in Demography: A Review, Population Index 48 (1), 4-43. [OpenAIRE]

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