المستودع الأكاديمي جامعة المدينة

Risk management of pension systems from the perspective of loss aversion

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dc.creator Binswanger, Johannes
dc.date 2005
dc.date.accessioned 2013-10-16T07:02:29Z
dc.date.available 2013-10-16T07:02:29Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19036
dc.identifier ppn:50370704X
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19036
dc.description This paper studies pension design from a risk management point of view using a lexicographic loss aversion model. Interest in this model stems from the fact that it explains income expansion paths of equity and total savings particularly well. I find that all income groups are likely to benefit from a PAYGO system, even in the absence of any redistribution. Optimal equity investments are close to zero for the two bottom income quintiles and increase sharply for higher incomes. The results are compared to optimal pension plans under HARA preferences. I find that a PAYGO system has higher value under loss aversion than in the HARA case. Moreover, equity shares correspond more closely to empirical observations.
dc.language eng
dc.publisher
dc.relation CESifo working papers 1572
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject H55
dc.subject ddc:330
dc.subject pension system
dc.subject portfolio choice
dc.subject income heterogeneity
dc.subject loss aversion
dc.subject HARA preferences
dc.subject Gesetzliche Rentenversicherung
dc.subject Umlageverfahren
dc.subject Portfolio-Management
dc.subject Risikoaversion
dc.subject Präferenztheorie
dc.subject Theorie
dc.title Risk management of pension systems from the perspective of loss aversion
dc.type doc-type:workingPaper


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