Implementing individual savings decisions for retirement with bounds on wealth

We present a savings plan for retirement that removes risk by fixing a constraint on a life-long pension so that it has an upper and a lower bound. This corresponds to the ideas of Nobel laureate R.C. Merton whose implementation has never been published. We show with an illustration that our propose...

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Detalhes bibliográficos
Autores: Donnelly, Catherine, Guillén, Montserrat, Nielsen, Jens Perch, Pérez Marín, Ana María
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2018
País:España
Recursos:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/120166
Acesso em linha:https://hdl.handle.net/2445/120166
Access Level:acceso abierto
Palavra-chave:Estalvi
Jubilació
Plans de pensions
Anàlisi financera
Saving
Retirement
Pension trusts
Investment analysis
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spelling Implementing individual savings decisions for retirement with bounds on wealthDonnelly, CatherineGuillén, MontserratNielsen, Jens PerchPérez Marín, Ana MaríaEstalviJubilacióPlans de pensionsAnàlisi financeraSavingRetirementPension trustsInvestment analysisWe present a savings plan for retirement that removes risk by fixing a constraint on a life-long pension so that it has an upper and a lower bound. This corresponds to the ideas of Nobel laureate R.C. Merton whose implementation has never been published. We show with an illustration that our proposed practical algorithm reproduces the theoretical results after a savings period of around 30 years by using daily, monthly, weekly or yearly updates of the investment positions. We calculate the percentiles of the final accumulated wealth distribution for the adjusted implementation. In the simulated illustration, we observe that the adjusted values converge to the theoretical values of the percentiles when the frequency of update increases. We conclude that monthly adjustments result in a practical way to implement theoretical results that were obtained under the hypothesis of a continuous process by Donnelly et al. (2015). This method is easy to use in practice by pension savers and fund managers.Cambridge University Press2018201820182018info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersion27 p.application/pdfhttps://hdl.handle.net/2445/120166Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésReproducció del document publicat a: https://doi.org/10.1017/asb.2017.34ASTIN Bulletin , 2018, vol. 48, num. 1, p. 111-137https://doi.org/10.1017/asb.2017.34(c) International Actuarial Association, 2018info:eu-repo/semantics/openAccessoai:recercat.cat:2445/1201662026-05-29T05:05:01Z
dc.title.none.fl_str_mv Implementing individual savings decisions for retirement with bounds on wealth
title Implementing individual savings decisions for retirement with bounds on wealth
spellingShingle Implementing individual savings decisions for retirement with bounds on wealth
Donnelly, Catherine
Estalvi
Jubilació
Plans de pensions
Anàlisi financera
Saving
Retirement
Pension trusts
Investment analysis
title_short Implementing individual savings decisions for retirement with bounds on wealth
title_full Implementing individual savings decisions for retirement with bounds on wealth
title_fullStr Implementing individual savings decisions for retirement with bounds on wealth
title_full_unstemmed Implementing individual savings decisions for retirement with bounds on wealth
title_sort Implementing individual savings decisions for retirement with bounds on wealth
dc.creator.none.fl_str_mv Donnelly, Catherine
Guillén, Montserrat
Nielsen, Jens Perch
Pérez Marín, Ana María
author Donnelly, Catherine
author_facet Donnelly, Catherine
Guillén, Montserrat
Nielsen, Jens Perch
Pérez Marín, Ana María
author_role author
author2 Guillén, Montserrat
Nielsen, Jens Perch
Pérez Marín, Ana María
author2_role author
author
author
dc.subject.none.fl_str_mv Estalvi
Jubilació
Plans de pensions
Anàlisi financera
Saving
Retirement
Pension trusts
Investment analysis
topic Estalvi
Jubilació
Plans de pensions
Anàlisi financera
Saving
Retirement
Pension trusts
Investment analysis
description We present a savings plan for retirement that removes risk by fixing a constraint on a life-long pension so that it has an upper and a lower bound. This corresponds to the ideas of Nobel laureate R.C. Merton whose implementation has never been published. We show with an illustration that our proposed practical algorithm reproduces the theoretical results after a savings period of around 30 years by using daily, monthly, weekly or yearly updates of the investment positions. We calculate the percentiles of the final accumulated wealth distribution for the adjusted implementation. In the simulated illustration, we observe that the adjusted values converge to the theoretical values of the percentiles when the frequency of update increases. We conclude that monthly adjustments result in a practical way to implement theoretical results that were obtained under the hypothesis of a continuous process by Donnelly et al. (2015). This method is easy to use in practice by pension savers and fund managers.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018
2018
2018
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/120166
url https://hdl.handle.net/2445/120166
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://doi.org/10.1017/asb.2017.34
ASTIN Bulletin , 2018, vol. 48, num. 1, p. 111-137
https://doi.org/10.1017/asb.2017.34
dc.rights.none.fl_str_mv (c) International Actuarial Association, 2018
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) International Actuarial Association, 2018
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 27 p.
application/pdf
dc.publisher.none.fl_str_mv Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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