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Impact of the choice of risk assessment time horizons on defined benefit pension schemes
Annals of Actuarial Science Pub Date : 2021-06-09 , DOI: 10.1017/s1748499521000178
Douglas Andrews , Stephen Bonnar , Lori J. Curtis , Jaideep S. Oberoi , Aniketh Pittea , Pradip Tapadar

We examine the impact of asset allocation and contribution rates on the risk of defined benefit (DB) pension schemes, using both a run-off and a shorter 3-year time horizon. Using the 3-year horizon, which is typically preferred by regulators, a high bond allocation reduces the spread of the distribution of surplus. However, this result is reversed when examined on a run-off basis. Furthermore, under both the 3-year horizon and the run-off, the higher bond allocation reduces the median level of surplus. Pressure on the affordability of DB schemes has led to widespread implementation of the so-called de-risking strategies, such as moving away from predominantly equity investments to greater bond investments. If the incentives produced by shorter term risk assessments are contributing to this shift, they might be harming the long-term financial health of the schemes. Contribution rates have relatively lower impact on the risk.



中文翻译:

风险评估时间范围的选择对固定收益养老金计划的影响

我们使用径流和较短的 3 年时间跨度研究资产分配和缴费率对固定收益 (DB) 养老金计划风险的影响。使用监管机构通常首选的 3 年期限,高债券分配减少了盈余分配的分布。然而,当在径流基础上检查时,这个结果是相反的。此外,在 3 年期和径流下,较高的债券配置会降低盈余的中位数。DB 计划的可负担性压力导致了所谓的去风险策略的广泛实施,例如从主要的股权投资转向更多的债券投资。如果短期风险评估产生的激励有助于这种转变,它们可能会损害这些计划的长期财务健康。贡献率对风险的影响相对较小。

更新日期:2021-06-09
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