<abstract xmlns="http://www.w3.org/1999/xhtml">

The aim of this work is to provide the logical sustainability model for defined contribution pension systems (see [1], [2]) in the discrete framework under stochastic financial rate of the pension system fund and stochastic productivity of the active participants. In addition, the model is developed in the assumption of variable mortality tables.
Under these assumptions, the evolution equations of the fundamental state variables, the pension liability and the fund, are provided. In this very general discrete framework, the necessary and sufficient condition of the pension system sustainability, and all the other basic results of the logical sustainability theory, are proved.
In addition, in this work new results on the efficiency of the rule for the stabilization over time of the level of the unfunded pension liability with respect to wages, level that is defined as <italic>β</italic> indicator, are also proved.
</abstract>

The aim of this work is to provide the logical sustainability model for defined contribution pension systems (see [1], [2]) in the discrete framework under stochastic financial rate of the pension system fund and stochastic productivity of the active participants. In addition, the model is developed in the assumption of variable mortality tables.
Under these assumptions, the evolution equations of the fundamental state variables, the pension liability and the fund, are provided. In this very general discrete framework, the necessary and sufficient condition of the pension system sustainability, and all the other basic results of the logical sustainability theory, are proved.
In addition, in this work new results on the efficiency of the rule for the stabilization over time of the level of the unfunded pension liability with respect to wages, level that is defined as β indicator, are also proved.

The Logical Sustainability Theory for pension systems: the discrete-time model in a stochastic framework under variable mortality

Pure Mathematics and Applications

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The aim of this work is to provide the logical sustainability model for defined contribution pension systems (see [1], [2]) in the discrete framework under...

The Logical Sustainability Theory for pension systems: the discrete-time model in a stochastic framework under variable mortality

Publié en ligne: 17 août 2022

Pages: 1 - 25

Reçu: 15 avr. 2019

DOI: https://doi.org/10.1515/puma-2015-0029

Mots clés
Defined contribution pension systems, Logical sustainability, Variable mortality

© 2022 Massimo Angrisani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The Logical Sustainability Theory for pension systems: the discrete-time model in a stochastic framework under variable mortality

Publié en ligne: 17 août 2022

Pages: 1 - 25

Reçu: 15 avr. 2019

DOI: https://doi.org/10.1515/puma-2015-0029

Mots clésDefined contribution pension systems, Logical sustainability, Variable mortality

© 2022 Massimo Angrisani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
Defined contribution pension systems, Logical sustainability, Variable mortality