Guaranteeing Benefits in Generational Pension Plans
نویسندگان
چکیده
In this paper we analyze the possibilities of intergenerational risk sharing in a generational DB pension fund. Each generation is subject to discretionary investment, indexation and contribution policies, thereby losing intergenerational diversification gains. Intergenerational risk sharing is repaired by introducing contingent claims on the generational surplus or deficit. We find that in some circumstances the values of these options can be substantial. ∗The authors thank participants in the RSM Ph.D. seminar at Erasmus University, and Research Conference on Risk Sharing in DC Pension Schemes” at Exeter University for valuable comments. The paper was written when both authors were at Erasmus University, the Netherlands. The usual disclaimer applies.
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