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Good Practice Principles in Modelling Defined Contribution Pension Plans

Dowd, Kevin; Blake, David

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Authors

David Blake



Abstract

We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and gender; modelling plan charges; modelling longevity risk; modelling the post-retirement period; integrating the pre- and post-retirement periods; modelling additional sources of income, such as the state pension and equity release; modelling extraneous factors, such as unemployment risk, activity rates, taxes and welfare entitlements; scenario analysis and stress testing; periodic updating of the model and changing assumptions; and overall fitness for purpose.

Citation

Dowd, K., & Blake, D. (2022). Good Practice Principles in Modelling Defined Contribution Pension Plans. Journal of Risk and Financial Management, 15(3), Article 108. https://doi.org/10.3390/jrfm15030108

Journal Article Type Article
Acceptance Date Feb 18, 2022
Online Publication Date Feb 26, 2022
Publication Date 2022-03
Deposit Date Jun 15, 2022
Publicly Available Date Jun 15, 2022
Journal Journal of Risk and Financial Management
Print ISSN 1911-8066
Publisher MDPI
Peer Reviewed Peer Reviewed
Volume 15
Issue 3
Article Number 108
DOI https://doi.org/10.3390/jrfm15030108
Public URL https://durham-repository.worktribe.com/output/1200953

Files

Published Journal Article (1.9 Mb)
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Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/

Copyright Statement
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited






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