How risky is pension wealth?

Using a representative sample of Italian investors, we estimate the risk associated with social security benefits by eliciting for each individual the subjective distribution of the replacement rate as a summary indicator of social security wealth. Pension risk variesacross individuals in a way that is consistent with what one can expect a priori, due to observable heterogeneity in information sets and in the way that people with different characteristics are affected by current pension schemes. In particular, individuals a longway from retirement and who thus face more career uncertainty report more subjective pension risk. We also find that individuals who report higher pension risk are more likely to enroll in pension funds and health insurance plans.