Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system
Since the mid 1990s some European countries (including Italy) implemented a Notional Defined Contribution (NDC) pension system. Such a system is based on pay-as-you-go funding, while the pension amount is a function of the individual lifelong contribution. Despite many appealing features, the NDC sy...
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| Vydané v: | Annals of operations research Ročník 299; číslo 1-2; s. 765 - 795 |
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| Hlavní autori: | , , |
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| Jazyk: | English |
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New York
Springer US
01.04.2021
Springer Springer Nature B.V |
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| ISSN: | 0254-5330, 1572-9338 |
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| Abstract | Since the mid 1990s some European countries (including Italy) implemented a Notional Defined Contribution (NDC) pension system. Such a system is based on pay-as-you-go funding, while the pension amount is a function of the individual lifelong contribution. Despite many appealing features, the NDC system presents some drawbacks: first, it is vulnerable to demographic and economic shocks compromising the financial sustainability; second, it could fail to guarantee adequate pension benefits to pensioners. In order to reduce the first limit, automatic balance mechanisms (ABMs) have been proposed in literature and also implemented in Sweden, while solutions that combine financial sustainability and social adequacy have been applied only in a pay-as-you-go point system. The aim of this paper is to insert into the Italian NDC architecture ABMs that preserve social adequacy under financial sustainability constraints. Godinez-Olivares et al. (Insur Math Econ 69:117–126, 2016) built ABMs for a Defined Benefit pension system using nonlinear optimization techniques to calculate the optimal paths of the control variables representing the main drivers of the system: contribution rate, retirement age and indexation of pensions. Following this line of research, we have developed a nonlinear optimization model for the Italian NDC system based on three control variables: pensions indexation, notional rate and contribution rate. The objective function considers both social adequacy and contribution rate sustainability, under liquidity and sustainability constraints. In the numerical application we apply the model to the Italian pension system and test the sensitivity of the results to different economic scenarios and objective function parameters. |
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| AbstractList | Since the mid 1990s some European countries (including Italy) implemented a Notional Defined Contribution (NDC) pension system. Such a system is based on pay-as-you-go funding, while the pension amount is a function of the individual lifelong contribution. Despite many appealing features, the NDC system presents some drawbacks: first, it is vulnerable to demographic and economic shocks compromising the financial sustainability; second, it could fail to guarantee adequate pension benefits to pensioners. In order to reduce the first limit, automatic balance mechanisms (ABMs) have been proposed in literature and also implemented in Sweden, while solutions that combine financial sustainability and social adequacy have been applied only in a pay-as-you-go point system. The aim of this paper is to insert into the Italian NDC architecture ABMs that preserve social adequacy under financial sustainability constraints. Godinez-Olivares et al. (Insur Math Econ 69:117–126, 2016) built ABMs for a Defined Benefit pension system using nonlinear optimization techniques to calculate the optimal paths of the control variables representing the main drivers of the system: contribution rate, retirement age and indexation of pensions. Following this line of research, we have developed a nonlinear optimization model for the Italian NDC system based on three control variables: pensions indexation, notional rate and contribution rate. The objective function considers both social adequacy and contribution rate sustainability, under liquidity and sustainability constraints. In the numerical application we apply the model to the Italian pension system and test the sensitivity of the results to different economic scenarios and objective function parameters. |
| Audience | Academic |
| Author | Menzietti, Massimiliano Devolder, Pierre Levantesi, Susanna |
| Author_xml | – sequence: 1 givenname: Pierre surname: Devolder fullname: Devolder, Pierre organization: Université Catholique de Louvain (UCL) – sequence: 2 givenname: Susanna orcidid: 0000-0002-4644-4358 surname: Levantesi fullname: Levantesi, Susanna email: susanna.levantesi@uniroma1.it organization: Sapienza University of Rome – sequence: 3 givenname: Massimiliano surname: Menzietti fullname: Menzietti, Massimiliano organization: University of Calabria |
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| CitedBy_id | crossref_primary_10_1371_journal_pone_0303897 crossref_primary_10_3390_ijerph19073949 crossref_primary_10_1007_s10479_020_03855_7 crossref_primary_10_1007_s10479_022_04741_0 crossref_primary_10_1007_s10479_024_05942_5 crossref_primary_10_1007_s10479_022_05042_2 crossref_primary_10_1155_2021_6193743 crossref_primary_10_3390_jrfm15050207 crossref_primary_10_3390_su142316274 crossref_primary_10_1057_s41599_023_01983_6 crossref_primary_10_1007_s10203_024_00451_3 crossref_primary_10_1007_s10479_023_05808_2 crossref_primary_10_1016_j_insmatheco_2023_08_007 |
| Cites_doi | 10.1111/j.1475-5890.2008.00070.x 10.1017/S1474747209990035 10.1007/978-94-015-8330-5_4 10.1007/s13385-019-00216-y 10.1080/03461238.2017.1304984 10.1111/1467-9442.03205 10.1787/pension_glance-2017-en 10.1007/s10479-006-0144-2 10.1016/j.insmatheco.2016.05.001 10.1057/gpp.2009.2 10.1007/s10479-016-2387-x 10.1007/s10479-009-0594-4 10.1111/issr.12142 10.1017/S1474747218000112 |
| ContentType | Journal Article |
| Copyright | The Author(s) 2020 COPYRIGHT 2021 Springer The Author(s) 2020. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. |
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| Keywords | Financial sustainability Social adequacy Notional Defined Contribution pension systems Automatic balance mechanisms Optimization |
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Progress, lessons, and implementation year: 2012 ident: 3819_CR5 – volume: 260 start-page: 255 year: 2018 ident: 3819_CR17 publication-title: Annals of Operations Research doi: 10.1007/s10479-016-2387-x – volume-title: Actuarial mathematics of social security pensions year: 1999 ident: 3819_CR12 – volume: 9 start-page: 1 issue: 1 year: 2010 ident: 3819_CR15 publication-title: Journal of Pension Economics and Finance doi: 10.1017/S1474747209990035 – volume: 4 start-page: 339 year: 2001 ident: 3819_CR24 publication-title: Wirtschaftspolitische Blätter – ident: 3819_CR8 – volume: 177 start-page: 47 year: 2010 ident: 3819_CR14 publication-title: Annals of Operations Research doi: 10.1007/s10479-009-0594-4 – volume: 152 start-page: 141 year: 2007 ident: 3819_CR2 publication-title: Annals of Operations Research doi: 10.1007/s10479-006-0144-2 – ident: 3819_CR22 – volume: 102 start-page: 395 issue: 3 year: 2000 ident: 3819_CR25 publication-title: Scandinavian Journal of Economics doi: 10.1111/1467-9442.03205 – start-page: 51 volume-title: Advances in optimization and numerical analysis year: 1994 ident: 3819_CR21 doi: 10.1007/978-94-015-8330-5_4 – ident: 3819_CR23 doi: 10.1017/S1474747218000112 – volume: 9 start-page: 463 issue: 2 year: 2019 ident: 3819_CR7 publication-title: European Actuarial Journal doi: 10.1007/s13385-019-00216-y – volume: 34 start-page: 287 issue: 2 year: 2009 ident: 3819_CR26 publication-title: The Geneva Papers on Risk and Insurance Issues and Practice doi: 10.1057/gpp.2009.2 – start-page: 493 volume-title: Pension reform: Issues and prospect for non-financial defined contribution (NDC) schemes, chapter 19 year: 2006 ident: 3819_CR10 – volume: 29 start-page: 89 issue: 1 year: 2008 ident: 3819_CR3 publication-title: Fiscal Studies doi: 10.1111/j.1475-5890.2008.00070.x – volume: Q2 start-page: 69 issue: 06 year: 2006 ident: 3819_CR16 publication-title: Monetary Policy and Economy – ident: 3819_CR28 |
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| SubjectTerms | Adequacy Analysis Business and Management Combinatorics Comparative analysis Defined contribution plans Financial management Operations research Operations Research/Decision Theory Optimization Optimization techniques Pensions Retirement S.I.: Recent Developments in Financial Modeling and Risk Management Social security Sustainability Theory of Computation |
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| Title | Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system |
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