School of Mathematics, Statistics & Actuarial Science

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Mar 1
13:00 - 14:00
CASRI seminar: Professor Pierre Devolder (Universite Catholique de Louvain, Belgium)
CASRI seminars
Title: Sustainability and adequacy of public pension schemes : a risk sharing approach between generations

Abstract: In classical pension design, there are essentially two kinds of pension schemes: Defined Benefit (DB) or Defined Contribution (DC) plans, corresponding to a different philosophy of risk spreading between the stakeholders: in DB, the main risks are taken by the organizer of the plan, while in DC (including the Notional accounts – NDC, used in Sweden or Italy), the affiliates must bear all the risks. Especially applied to public pension systems, this traditional polar view can lead to unfair intergenerational equilibrium in both cases. The purpose of this paper is to present alternative architectures based on a mix between DB and DC in order to reach simultaneously financial sustainability but also social adequacy. An example of this approach is the so called Musgrave rule but other risk sharing approaches will be developed and compared in a pay as you go philosophy. Deterministic and stochastic models will be used, including applications of stochastic optimal control. 

Keywords: Pension funding, Risk sharing, Musgrave rule, stochastic optimal control


Darwin College,
University of Kent,
United Kingdom


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Contact: Dr Pradip Tapadar
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Last Updated: 27/04/2017