Risk management of pensions from the perspective of loss aversion

• 成果类型: Article
• 署名作者: Binswanger, Johannes
• 署名单位: Tilburg University
• 刊物名称: JOURNAL OF PUBLIC ECONOMICS
• ISSN/ISSBN: 0047-2727
• DOI: 10.1016/j.jpubeco.2006.09.012
• 发表日期: 2007
• 页码: 641-667
• 关键词: pay-as-you-go pension system; old-age provision; risk management; income heterogeneity

摘要

This paper studies two interrelated questions. First, is a pay-as-you-go (PAYG) pension component beneficial from a risk management point of view? Second, does optimal risk management of old-age consumption differ between different income groups? The analysis is based on so-called lexicographic loss aversion preferences. Interest in these preferences stems from the fact that they explain the cross-section of individuals' savings and asset allocation choices better than alternative models. I find that all income groups benefit from the presence of a substantial PAYG component. Only for the two highest income quintiles old-age provision should heavily rely on equity investments. (c) 2006 Elsevier B.V. All rights reserved.