Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system

DOI10.1007/s10479-020-03819-xzbMath1475.91297OpenAlexW3092982117MaRDI QIDQ2241089

Massimiliano Menzietti, Susanna Levantesi, Pierre Devolder

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03819-x

zbMATH Keywords

optimizationautomatic balance mechanismsfinancial sustainabilitynotional defined contribution pension systemssocial adequacy

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (2)

Intergenerational actuarial fairness when longevity increases: amending the retirement age ⋮ Pension fund management with investment certificates and stochastic dominance

Uses Software

• nloptr
• NLopt

Cites Work

• Unnamed Item
• Optimal strategies for pay-as-you-go pension finance: a sustainability framework
• Individual optimal pension allocation under stochastic dominance constraints
• An ALM model for pension funds using integrated chance constraints
• Between DB and DC: optimal hybrid PAYG pension schemes
• Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
• Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty

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