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Optimizing the Aging, Retirement, and Pensions Dilemma: (Wiley Finance)

Optimizing the Aging, Retirement, and Pensions Dilemma: (Wiley Finance)

          
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About the Book

A straightforward guide focused on life cycle investing-namely aging, retirement, and pensions Life cycle investing and the implications of aging, retirement, and pensions continues to grow in importance. With people living longer, the relative and absolute number of retirees is growing while the number of workers contributing to pension funds is declining. This reliable resource develops a detailed economic analysis-at the micro (individual) and macro (economy wide) levels-which addresses issues regarding the economics of an aging population. Topics touched upon include retirement and the associated health care funding of the aged as well as social security and the asset classes that are considered asset-liability choices over time. The probability of achieving adequate return patterns from various investment strategies and asset classes is reviewed Shares rich insights on the aging, retirement, and pensions dilemma An assessment of the resources the real economy will be able to commit to non-workers is provided The three pillars of retirement are social security, company pensions, and private savings. Each of these pillars is confronted with a variety of asset-liability problems, and this book will addresses them.

Table of Contents:
Acknowledgments xv Preface xvii Part One The Aging Population: Issues for Retirement 1 Chapter 1 Issues in Retirement 3 1.1 Longevity and Changing Demographics across the World 4 1.2 The Evolution of Retirement 8 1.2.1 Older Workers as a Growing Share of the Work Force 11 1.3 Provision for Retirement 11 1.3.1 The Earliest Pensions 11 1.3.2 Early Corporate Pensions 12 1.3.3 Total Assets on Retirement 15 1.3.4 The Contribution of Various Assets at Retirement 15 References 19 Chapter 2 The Various Costs of Pensions: Macro and Micro 21 2.1 Governmental Cost of Retirement 21 2.2 Pensions and Capital Formation 22 2.3 Regulating Corporate Pensions 24 2.3.1 US Regulations 24 2.3.2 Corporate Bankruptcies Leave a Trail of Broken Promises 30 2.3.3 Comparing Regulation of Occupational Pension Schemes in the EU and the United States 31 2.4 DC vs. DB: Shifting the Risks 33 2.4.1 Pensions, Corporate Earnings, and Tax Deferral 37 2.5 Freezing Pension Plans 39 2.6 Where Do We Go from Here? 40 References 41 Chapter 3 The Various Pillars of Retirement: Social Security, Company Pensions, Supplementary Pensions, and Private Savings 43 3.1 Pillars of Retirement 43 3.2 Reforming OECD Pensions 51 3.3 Changing Role of Private Pensions 51 3.3.1 Summarizing Pension Reforms in the OECD 55 3.4 Plans for Reforming Social Pensions 56 3.4.1 Increase Contributions, Cut Benefits, Extend Working Life 56 3.4.2 Use the Contributions to Buy Stocks instead of Government Bonds 58 3.5 Rethinking Pension Promises: Breaking the Fixed Link to a Monetary Value 61 3.5.1 Feldstein’s PRA with Guarantees 61 3.5.2 NDC: Notational or Nonfinancial Defined Contributions 62 3.5.3 The PAAW (Personal Annuitized Average Wage Security), a Variant of the NDC 66 3.6 Intergenerational Risk-Sharing 67 3.7 Conclusions 69 3.8 Case Study: Public Sector vs. Private Pensions 70 3.8.1 Government Plans Are Different: US 70 3.8.2 Government Plans Are Different: Canada 72 3.8.3 What Do We Learn from These Comparisons? 73 References 73 Chapter 4 Asset Classes: Historical Performance and Risk 77 4.1 Equities 77 4.2 ETFs: Exchange-Traded Funds 89 4.2.1 Levered ETFs 93 4.3 Bonds and Fixed Income 93 4.3.1 TIPS 95 4.4 The Bond-Stock Measure for Medium-Term Large Crash Prediction 95 4.4.1 The 2000–2003 Crash in the S&P 500 103 4.5 Hedge Funds 112 4.6 Real Assets 121 4.6.1 REITs 121 4.7 Housing as an Asset Class 121 4.8 Gold and Other Commodities 125 4.9 Private Equity and Related Assets 126 4.10 Currencies 126 4.11 Evaluation of Great Investors 129 4.12 Fundamental and Seasonal Anomalies of Asset Returns 135 References 141 Chapter 5 The Current Economic Crisis and Its Impact on Retirement Decisions 145 5.1 Household and Government Debt 145 5.2 Were the Crash Models Helpful in Signaling the US and Worldwide 2007–2009 Crash? 146 5.3 The Subprime Crisis and How It Evolved 148 5.3.1 Favoring the Financial Sector: Evaluating the Policy Responses 150 5.4 Impact on Retirement Expectations 153 5.4.1 Plan Sponsors in Trouble 156 5.5 Pensions in Trouble 160 5.6 State Pensions 161 5.7 Future ERP 162 5.7.1 Companies Freezing Pension Plans 165 5.7.2 The Ultimate Strategy: Bankruptcy 165 5.8 Future Inflation and Pensions 165 References 166 Part Two Special Issues and Models 169 Chapter 6 The Impact of Population Aging on Household Portfolios and Asset Returns 171 6.1 Introduction 171 6.2 The Empirical Evidence 172 6.2.1 The Empirical Evidence in a Micro-Perspective 173 6.2.2 The Empirical Evidence in a Macro-Perspective 181 6.3 Models for Portfolio Choices and Life-Cycle Asset Allocations 193 6.3.1 The Seminal Models 194 6.3.2 More Realistic Portfolio Models 196 6.3.3 Life-Cycle Asset Allocation Models with Uninsurable Labor Risk 198 6.3.4 Life-Cycle Asset Allocation Models in the Presence of Annuities 204 6.4 Conclusions 207 References 210 Chapter 7 A Continuous Time Approach to Asset-Liability Surplus Management 217 7.1 The Rudolf-Ziemba (2004) Intergenerational Surplus Management Model 218 7.2 A Case Study Application of the Rudolf-Ziemba Model 222 References 226 Chapter 8 Should Defined Benefit Pension Schemes Be Career Average or Final Salary? 227 8.1 Introduction 227 8.2 Career Average Defined Benefit Schemes 228 8.3 Cost Neutrality 229 8.4 Choosing the Revaluation Rate 230 8.5 The Adoption of Career Average Pension Schemes 232 8.6 Advantages of a Switch to a Career Average Scheme 236 8.6.1 Employer 236 8.6.2 Members 240 8.7 Disadvantages of a Switch to a Career Average Scheme 241 8.7.1 Employer 241 8.7.2 Members 245 8.8 Redistribution Effects of a Switch to Career Average Pensions 245 8.8.1 Compensatory Salary Changes, Pension Contributions, NIC, and Income Tax 247 8.8.2 Model of the Redistributive Effects of a Switch to Career Average 248 8.8.3 Numerical Example of the Redistributive Effects of a Switch to Career Average 250 8.9 Conclusions 253 References 254 Chapter 9 Applying Stochastic Programming to the US Defined Benefit Pension System 259 9.1 Introduction 260 9.2 Integrated Corporate/Pension Planning Model 261 9.2.1 Multiperiod Stochastic Programming Model 262 9.2.2 Alternative Goals 264 9.3 Assisting the Defined Benefit Pension System 265 9.3.1 Industry Projections 265 9.3.2 Applying Stochastic Programs to Industries in Trouble 270 9.4 Conclusions 273 References 274 Chapter 10 Mortality-Linked Securities and Derivatives 275 10.1 Introduction 275 10.2 Longevity Risk Transfers 278 10.2.1 Pension Buy-Outs 279 10.2.2 Securitization of Life Insurance Assets and Liabilities 281 10.3 Capital Market Solutions and the Development of Mortality-Linked Securities and Derivatives 282 10.3.1 The EIB Longevity Bond 283 10.3.2 Mortality Catastrophe Bonds 284 10.4 Recent Trends in Mortality-Linked Securities 286 10.4.1 Mortality Indexes 286 10.4.2 Mortality Swaps and Forwards 287 10.4.3 Mortality/Longevity Futures and Options 289 10.5 Hedging Pension Liabilities with Mortality-Linked Securities and Derivatives 290 10.5.1 Cash Flow Hedge Paradigm 290 10.5.2 Value Hedge Paradigm 291 10.5.3 Longevity Risk Pricing and Optimal Security Design 292 10.6 Conclusion 296 References 296 Chapter 11 Asset Allocation and Governance Issues of Government-Owned Pensions 299 11.1 Introduction 299 11.2 Types of Sovereign Funds 301 11.3 Is There a Common Asset Allocation for Pension Funds? 303 11.4 Sovereign Pension Funds and International Capital Markets 305 11.5 Governance Issues of Public Pension Funds 306 11.5.1 Intergenerational Borrowing 306 11.6 Regional Trends 309 11.7 Conclusion 313 References 314 Chapter 12 Issues in Individual Asset-Liability Management for Retirement 315 12.1 Own Company Stock 315 12.2 The Role of Annuities 319 12.3 The Role of Insurance 321 12.4 The Role of Managed Withdrawal Plans 322 12.4.1 Mandatory Withdrawals 322 12.5 Where and How to Retire? 322 12.5.1 New Type Retirement Communities 323 12.5.2 Assisted Living 323 12.5.3 Reverse Mortgages 323 12.5.4 Does It Pay to Have Multiple Residences? 324 12.5.5 Interest-Free Loan 326 References 326 Part Three Modeling the Issues 329 Chapter 13 Learning from Other Models 331 13.1 Preserving Endowment Spending 331 13.1.1 Cloning the Yale Approach 335 13.1.2 Dealing with Liquidity the Yale Way 336 13.1.3 Swensen’s Rule and Others 336 13.2 Devising a Rule So That Spending Never Falls 337 13.2.1 A Protective Spending Model 341 References 343 Chapter 14 The Innovest Austrian Pension Fund Financial Planning Model 345 14.1 How Should Companies Fund Their Liabilities and Determine Allocations among Asset Classes and Hedging Instruments? 345 14.2 Formulating InnoALM as a Multistage Stochastic Linear Programming Model 349 14.3 Some Typical Applications 352 14.4 Some Test Results 356 14.5 Model Tests 359 14.5.1 Final Comments 362 References 364 Chapter 15 An Individual ALM Model for Lifetime Asset-Liability Management 365 References 371 Chapter 16 Implementation and Numerical Results of Individual ALM Model for Lifetime Asset-Liability Management 375 References 392 Chapter 17 Conclusions 393 Index 397


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Product Details
  • ISBN-13: 9780470377345
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Depth: 32
  • Language: English
  • Returnable: N
  • Spine Width: 29 mm
  • Width: 160 mm
  • ISBN-10: 0470377348
  • Publisher Date: 19 Feb 2010
  • Binding: Hardback
  • Height: 239 mm
  • No of Pages: 432
  • Series Title: Wiley Finance
  • Weight: 721 gr


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