Unhedgeable inflation risk within pension schemes
作者: D.H.J. ChenR.M.W.J. BeetsmaS.J.G. van Wijnbergen
作者单位: 1University of Amsterdam, Netspar, DNB, The Netherlands
2MN Chair in Pension Economics, University of Amsterdam, European Fiscal Board, CEPR, CESifo, Netspar, Tinbergen Institute, The Netherlands
3University of Amsterdam, CEPR, Netspar, Tinbergen Institute, DNB, The Netherlands
刊名: Insurance Mathematics and Economics, 2020, Vol.90 , pp.7-24
来源数据库: Elsevier Journal
DOI: 10.1016/j.insmatheco.2019.10.009
关键词: Unhedgeable inflation riskWelfare lossIncomplete marketsPension contractValuation
原始语种摘要: Abstract(#br)Pension schemes generally aim to protect the purchasing power of their participants, but cannot completely do this when due to market incompleteness inflation risk cannot be fully hedged. Without a market price for inflation risk the value of a pension contract depends on the investor’s risk appetite and inflation risk exposure. We develop a valuation framework to deal with two sources of unhedgeable inflation risk: the absence of instruments to hedge general consumer price inflation risk and differences in group-specific consumption bundles from the economy-wide bundle. We find that the absence of financial instruments to hedge inflation risks may reduce lifetime welfare by up to 6% of certainty-equivalent consumption for commonly assumed degrees of risk aversion. Regulators...
全文获取路径: Elsevier  (合作)
影响因子:1.095 (2012)

  • inflation 膨胀
  • pension 年金
  • hedge 绿篱
  • consumption 消耗
  • aversion 厌恶
  • market 市场
  • investor 客商
  • valuation 评价
  • purchasing 采购
  • welfare 福利