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Implementing individual savings decisions for retirement with bounds on wealth

Recurso electrónico / electronic resource
MARC record
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24510‎$a‎Implementing individual savings decisions for retirement with bounds on wealth‎$c‎Catherine Donnelly... [et al.]
520  ‎$a‎We 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.
650 4‎$0‎MAPA20080552114‎$a‎Pensiones
650 4‎$0‎MAPA20080577148‎$a‎Planes de ahorro
650 4‎$0‎MAPA20080592455‎$a‎Planes de pensiones
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
7001 ‎$0‎MAPA20130002415‎$a‎Donnelly, Catherine
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 111-137