A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds

Details A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds

2011-06-24

arxiv.org/abs/1106.5081v1

Mathemathical Methods in Economics and Finance, Vol. 3, No. 2, pp. 41-60, 2008

Economy

Quantitative Finance

Risk Management

20 pages, 9 figures, 5 tables. Original paper available at: http://sunshine.dma.unive.it/mmef/vol-3-2-2008.html

Scientific paper

This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for investigating the behaviour of the demographic variable "new entrants" and the influence it exerts on the financial dynamics of such funds. Further information on pension funds of Italian professional categories and an application to the Cassa Nazionale di Previdenza e Assistenza dei Dottori Commercialisti (CNPADC) are then provided.

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