Centro de Documentación de Fundación MAPFRE - Implementing individual savings decisions for retirement with bounds on wealth

Notes: Sumario: 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.Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 111-137Materia / lugar / evento: Pensiones Planes de ahorro Planes de pensiones Cálculo actuarial Matemática del seguro Otros autores: Donnelly, Catherine
Other categories: 6

Rights: In Copyright (InC)

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