Good Practice Principles in Modelling Defined Contribution Pension Plans

Dowd, Kevin; Blake, David

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
• Electronic ISSN: 1911-8074
• 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