The Role of Guarantees in Defined Contribution Pensions

Pablo Antolíni ; Stéphanie Payeti ; Edward Whitehousei ; Juan Yermoi iOECD

Organisation for Economic Co-operation and Development

关键词: put options;    accumulation phase;    pensions;    defined contribution;    minimum return guarantees;    guarantees;   

DOI  :  https://doi.org/10.1787/5kg52k5b0v9s-en

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This paper examines the role of guarantees in DC pension plans, in particular minimum investment return guarantees during the accumulation phase. The main goal is to assess the cost and benefits of different return guarantees. The report uses a stochastic financial market model where guarantee claims are calculated as a financial derivative in a financial market framework (like e.g. the valuation of a put option). In this context, the report highlights the value of capital guarantees that protect the nominal value of contributions in DC pension plans. However, such guarantees can only be introduced relatively easily in the very specific context considered in this report. Allowing plan members vary contribution periods or investment strategies, or change providers, would raise major challenges for an effective and efficient implementation of return guarantees in a DC context. This would increase the complexity and cost of administering the guarantee.