Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes

doi:10.1017/S1748499520000305

科研成果详情

题名	Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes
作者	Chen，Wen 1; Koo，Bonsoo 1,2; Wang，Yunxiao 2; O'Hare，Colin 1,2; Langrené，Nicolas 1; Toscas，Peter 1; Zhu，Zili 1
发表日期	2021-11-10
会议录名称	Annals of Actuarial Science
ISSN	1748-4995
卷号	15
期号	3
页码	549-566
摘要	The retirement systems in many developed countries have been increasingly moving from defined benefit towards defined contribution system. In defined contribution systems, financial and longevity risks are shifted from pension providers to retirees. In this paper, we use a probabilistic approach to analyse the uncertainty associated with superannuation accumulation and decumulation. We apply an economic scenario generator called the Simulation of Uncertainty for Pension Analysis (SUPA) model to project uncertain future financial and economic variables. This multi-factor stochastic investment model, based on the Monte Carlo method, allows us to obtain the probability distribution of possible outcomes regarding the superannuation accumulation and decumulation phases, such as relevant percentiles. We present two examples to demonstrate the implementation of the SUPA model for the uncertainties during both phases under the current superannuation and Age Pension policy, and test two superannuation policy reforms suggested by the Grattan Institute.
关键词	Age Pension Economic scenarios generator Monte Carlo simulation Retirement income Superannuation
DOI	10.1017/S1748499520000305
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-85095323623
引用统计	被引频次：4[WOS] [WOS记录] [WOS相关记录]
文献类型	会议论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/12712
专题	个人在本单位外知识产出
通讯作者	Chen，Wen
作者单位	1.RiskLab,Data61,The Commonwealth Scientific Industrial and Research Organisation (CSIRO),Australia 2.Department of Econometrics and Business Statistics,Monash University,Melbourne,3800,Australia
推荐引用方式 GB/T 7714	Chen，Wen,Koo，Bonsoo,Wang，Yunxiaoet al. Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes[C], 2021: 549-566.