AL-Hassan, Hassana
[UCL]
Devolder, Pierre
[UCL]
Aging is an important challenge for pension schemes, especially for social security plans mainly nanced by PAYG (Pay as you go) and based on a DB formula (Dened Benet). In particular, demographic risks induce important increases of the contributions and threaten the nancial sustainability of such schemes. On the other hand, switching to Dened Contribution plans can be a solution in terms of funding but introduce signicant risks in terms of social adequacy. The purpose of this paper is to study hybrid solutions between DB and DC in a stochastic environment. In particular, we simulate for various risk sharing strategies, the evolution of contributions and benets by introducing risk factors inuencing the demographic dependence ratio (fertility, longevity, baby boom). We study the mean evolution of these processes as well as their value at risk.


Bibliographic reference |
AL-Hassan, Hassana ; Devolder, Pierre. Stochastic Modellization of Hybrid Public Pension Plans (PAYG) under Demographic Risks with Application to the Belgian Case. LIDAM Discussion Paper ISBA ; 2022/42 (2022) 34 pages |
Permanent URL |
http://hdl.handle.net/2078.1/268702 |