2016 Fiscal Year Final Research Report
Risk management of public pension for economic uncertainties
| Project/Area Number |
25350461
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Hosei University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| 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 |
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| 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.
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| Free Research Field |
金融工学
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