IDEAS home Printed from https://ideas.repec.org/a/bpj/apjrin/v9y2015i2p261-301n5.html
   My bibliography  Save this article

Social Insurance Pension Schemes: Stochastic Actuarial Valuation Using an Analytical Model

Author

Listed:
  • Iyer Subramaniam

    (Hon. FIA, 3, rue Giovanni Gambini, Geneva 1206, Switzerland)

Abstract

Actuarial valuations of social insurance pension schemes continue to be carried out almost exclusively on traditional, deterministic lines, despite certain advantages of stochastic valuations. The few instances, that there are of such valuations, have been based on the simulation methodology, which is computer-intensive and requires extensive data. It is believed that the analytical approach may provide a simpler alternative and therefore encourage the spread of stochastic valuations. This paper refines the theoretical basis of an existing analytical valuation model, and generalizes the projection formulae to accommodate several inter-correlated stochastic factors. A stochastic valuation of an on-going retirement pension scheme is illustrated. It is hoped that the paper will stimulate further theoretical and practical research, and eventually lead to the spread of stochastic valuations in social security.

Suggested Citation

  • Iyer Subramaniam, 2015. "Social Insurance Pension Schemes: Stochastic Actuarial Valuation Using an Analytical Model," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(2), pages 261-301, July.
    • Handle: RePEc:bpj:apjrin:v:9:y:2015:i:2:p:261-301:n:5
    DOI: 10.1515/apjri-2014-0030
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/apjri-2014-0030
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/apjri-2014-0030?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Assia Billig & Jean‐Claude Ménard, 2013. "Actuarial balance sheets as a tool to assess the sustainability of social security pension systems," International Social Security Review, John Wiley & Sons, vol. 66(2), pages 31-52, April.
    2. Ryan D. Edwards & Ronald D. Lee & Michael W. Anderson & Shripad Tuljapurkar & Carl Boe, 2003. "Key Equations in the Tuljapurkar-Lee Model of the Social Security System," Working Papers wp044, University of Michigan, Michigan Retirement Research Center.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Carlos Vidal-Meliá & Manuel Ventura-Marco & Juan Manuel Pérez-Salamero González, 2018. "Actuarial accounting for a notional defined contribution scheme combining retirement and longterm care benefits," Documentos de Trabajo del ICAE 2018-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Carlos Vidal Meliá & Juan Manuel Pérez-Salamero González & Anne M. Garvey & Anna Castañer Garriga, 2024. "The supplementary table on pensions (Table 29): Actuarial Balance Sheet Update for the Spanish Pension System to 2021, Wave Three," Studies on the Spanish Economy eee2024-18, FEDEA.
    3. Anne M. Garvey & Juan Manuel Pérez-Salamero González & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2021. "From “Table 29” to the actuarial balance sheet: is it really that big a leap?," Documentos de Trabajo del ICAE 2021-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Muharrem Umut, 2023. "Measuring the Performance of Private Pension Companies in Türkiye by Gray Relational Analysis Method," JRFM, MDPI, vol. 16(9), pages 1-18, September.
    5. Anne M. Garvey & Manuel Ventura-Marco & Carlos Vidal-Meliá, 2021. "Does the pension system’s income statement really matter? A proposal for an NDC scheme with disability and minimum pension benefits," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 34(1), pages 292-310, January.
    6. Richter, Andreas & Weber, Frederik, 2009. "Mortality-Indexed Annuities," Discussion Papers in Business Administration 10994, University of Munich, Munich School of Management.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:apjrin:v:9:y:2015:i:2:p:261-301:n:5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.