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Title: Dynamic modelling and stability in social security schemes
Author: Godínez Olivares, Humberto
ISNI:       0000 0004 6422 1654
Awarding Body: University of Liverpool
Current Institution: University of Liverpool
Date of Award: 2016
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Since social security involves several individual parameters, in recent years considerable attention has been focused on the impact these parameters on pension and social security systems. The literature on pensions has long been highlighting concerns that public Pay-As-You-Go (PAYGO) pension systems will turn out to be unsustainable in the long run and are a concern for most countries around the world, from the industrialised nations to the developing countries. The common trend in responses to what is a pensions crisis is a wave of parametric pension adjustments during the last years. These parametric reforms include, among others, changes in the contribution ceilings, increases in the retirement age, reductions in the indexation of pensions or even carrying out a structural reform from a Defined Benefit pension system to a Notional Defined Contribution (NDC). Following this process of reforming the pension system, this thesis is focused on the most important innovation in public pension schemes over the past years, first on Actuarial Balancing Mechanism (ABM) in PAYGO and second in some aspects of the Notional Defined Contributions, both in a deterministic framework. The ABM mechanism, that uses non-linear optimization models, identifies and applies an optimal path of these variables into a PAYGO system and absorbs fluctuations in longevity, fertility rates, life expectancy or any other events in a pension system. For the NDC, the Survivor Dividend (SD), also called inheritance gains, kept by most NDCs is analysed under different assumptions to calculate the maximum mortality decrease a scheme can cover if the SD is not distributed and whether the SD is a potential solution to cover the longevity. The research has considerable potential impact. It addresses a clear need in political, business, economic and societal contexts. This project also bridges the gap between academics and policy makers for better pension's public policies under alternative financial and economic scenarios. As a result, it will allow to design and assess the path of reforms in a more efficient manner. Further development will include a stochastic framework, considering stochastic dynamic programming, robustness, sensitivity analysis and error bounds.
Supervisor: Boado-Penas, M. D. C. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral