Intergenerational risk-sharing and risk-taking of a pension fund

Journal of Public Economics

Volumn 92, Issue 5-6, 2008, Pages 1463-1485

  Gollier, Christian ^a  

^a TOULOUSE SCHOOL OF ECONOMICS   (France)

Author keywords

Dynamic portfolio choice; Funded system; Intergenerational risk sharing; Pension; Retirement

Indexed keywords

EID: 40849100451     PISSN: 00472727     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jpubeco.2007.07.008     Document Type: Article

References (26)

1. Aaron, H., Blinder, A., Munnell, A., Orzag, P., 2000. Governor Bush's Individual Account Proposal, Mimeo, Brookings Institution.
2. Ball L., and Mankiw N.G. Intergenerational Risk Sharing in the Spirit of Arrow, Debreu, and Rawls, with Applications to Social Security Design, Harvard Institute of Economic Research DP 1921 (2001)
3. Bodie Z., Merton R.C., and Samuelson W.F. Labor supply flexibility and portfolio choice in a life cycle model. Journal of Economic Dynamics and Control 16 (1992) 427-449
4. Bohn H. Intergenerational Risk-Sharing and Fiscal Policy, Working Paper (2003), University of California at Santa Barbara
5. Cui J., de Jong F., and Ponds E. Intergenerational Risk-Sharing within Funded Pension Schemes, Working Paper, Netspar, University of Tilburg (2006)
6. Deaton A. Saving and liquidity constraints. Econometrica 59 (1991) 1221-1248
7. Demange G. On the optimality in intergenerational risk sharing. Economic Theory 20 (2002) 1-27
8. Demange G., and Laroque G. Social security and demographic shocks. Econometrica 67 (1999) 527-542
9. de Menil G., Murtin F., and Sheshinsky E. Planning for the optimal mix of paygo tax and funded savings. Journal of Pension Economics and Finance 5 (2006) 1-25
10. Diamond P. A framework for social security analysis. Journal of Public Economics 8 (1977) 275-298
11. Epstein L.G. Decreasing absolute risk aversion and utility indices derived from cake-eating problems. Journal of Economic Theory 29 (1983) 245-264
12. Gollier C. Time diversification, liquidity constraints, and decreasing aversion to risk on wealth. Journal of Monetary Economics 49 (2002) 1439-1459
13. Gordon R.H., and Varian H.R. Intergenerational risk sharing. Journal of Public Economics 37 (1988) 185-202
14. Gottardi, P., Kubler, F., 2006. Social security and risk sharing, mimeo, University of Venice.
15. Grossman S., and Vila J.L. Optimal investment strategies with leverage constraints. Journal of Financial and Quantitative Analysis 27 2 (1992) 151-168
16. Krueger D., and Kubler F. Pareto improving social security reform when financial markets are incomplete. American Economic Review 96 (2006) 737-755
17. Merton R.C. Lifetime portfolio selection under uncertainty: the continuous-time case. Review of Economics and Statistics 51 (1969) 247-257
18. Poterba J., Rauh J., Venti S., and Wise D. Utility evaluation of risk in retirement saving accounts. In: Wise D. (Ed). Analyses in the Economics of Aging (2005), Chicago University Press, Chicago 13-52
19. Samuelson P.A. Risk and uncertainty: the fallacy of the Law of Large Numbers. Scientia 98 (1963) 108-113
20. Samuelson P.A. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 51 (1969) 239-246
21. Shiller R.J. Social security and institutions for intergenerational, intragenerational and international risk sharing. Carnegie-Rochester Conference Series on Public Policy vol. 50 (1999) 165-204
22. Shiller R.J. The New Financial Order: Risk in the 21st Century (2003), Princeton University Press, Princeton NJ
23. Teulings C.N., and de Vries C.G. General accounting, solidarity and pension losses. De Economist 154 1 (2006) 63-83
24. Valdés-Prieto S. Politicas Mercados de Pensiones (2002), Ediciones Universidad Catolica de Chile, Santiago
25. Valdés-Prieto S. Securitization of taxes implicit in PAYG pensions. Economic Policy 20 42 (2005) 215-265
26. van Hemert, O., 2005. Optimal Intergenerational Risk Sharing, Mimeo, University of Amsterdam.