Professor Kevin Dowd kevin.dowd@durham.ac.uk
Professor
Good Practice Principles in Modelling Defined Contribution Pension Plans
Dowd, Kevin; Blake, David
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 |
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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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