We model uncertainty of financial parameters and examine its impact on the replacement rate in a DC pension contract. To this end, we develop a novel Bayesian framework that reveals substantial reduction in the lower percentiles for the replacement rate at retirement. Weidentify that the key factor driving our results is the uncertainty of the equity risk premium.Our model shows that a time-varying contribution scheme based on observed interest rates and previous equity return can partially compensate for the effect of parameter uncertainty.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2019-2023           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

vu
NN_logo_gray
B20190901_nidi-logo_greyscale
B20160708_apg
B20160708_ministeries
Bekijk al onze partners