A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds
Alessandro Fiori Maccioni (CRENoS, University of Sassari)
TL;DR
This paper introduces a stochastic model to analyze demographic risks affecting pay-as-you-go pension funds, focusing on new entrants and their impact on financial stability, with an application to Italian professional pension schemes.
Contribution
It develops a novel stochastic approach to model demographic variables in restricted-entry pension funds, enhancing risk assessment methods.
Findings
The model effectively captures demographic variability.
Application to Italian pension fund demonstrates practical utility.
Provides insights into demographic risk management.
Abstract
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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Taxonomy
TopicsInsurance, Mortality, Demography, Risk Management · Financial Literacy, Pension, Retirement Analysis · demographic modeling and climate adaptation