Risk management of public pension for economic uncertainties
| Project/Area Number |
25350461
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Social systems engineering/Safety system
|
|---|
| Research Institution | Hosei University |
|---|
Principal Investigator |
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
小沢 正典 慶應義塾大学, 理工学部(矢上), 講師 (50152484)
|
|---|
| Project Period (FY) |
2013-04-01 – 2017-03-31
|
| Project Status |
Completed (Fiscal Year 2016)
|
| Budget Amount *help |
¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
|
|---|
| Keywords | 公的年金制度 / 長寿リスク / ポートフォリオ管理 / 個人年金保険 / 年金パズル / ポートフォリオ最適化 / 公的年金システム / マッケンドリック 偏微分方程式 / 財政検証プログラム / マクロスライド政策 / 所得代替率 / 少子高齢化 / リスク管理 / 年金ポートフォリオ管理 / public pension / sustainability / portfolio management / mathematical programming |
|---|
| Outline of Final Research Achievements |
There exists anxiety about future pension among the younger Japanese, because of longevity and decreasing population. One criteria of measuring pension risk is the income substitution ratio, which is the share of pension benefit to average worker income. Japanese government announces the 100 years simulation of reserve fund and the computer programs every 5 years. Under economic scenarios, the program minimizes the risk of pension benefit, as the reserve after 100 years is smaller than the benefit payment amount at the end. The policy to the risk is called “Macro Slide”, which cut the benefit against the inflation. The original program took a few minuets but we improve the optimization routine faster to less than minuets.
|
Report
(5 results)
Research Products
(22 results)
-
-
-
-
-
-
-
-
-
-
[Presentation] Binomial Hedging with transaction costs”2015
Author(s)
T,Uratani, T. Kondo, K. Terai
Organizer
The 47th ISCIE International Symposium on Stochastic System Theory and Its Applications,
Place of Presentation
Honolulu, Hawaii (USA)
Year and Date
2015-12-05
Related Report
Int'l Joint Research
-
-
-
-
-
-
-
-
-
-
-
-
