37,408 research outputs found
Analysis and computation of (n,N): Strategies for maintenance of a two-component system
Computer Science;produktieleer/ produktieplanning
Retirement Savings in an Aging Society: A Case for Innovative Government Debt Management
Aging societies will have to rely increasingly on private savings to finance retirement. The natural savings vehicles, stocks and bonds, are unfortunately lacking key risk-sharing features that are built into public retirement. Innovative government debt management can address this problem. The optimal policy supplies retirees with securities that share the financial risks of aggregate productivity, asset valuation, and demographic shocks across generations. As the population ages, state-contingent government bonds are a better risk sharing tools than pensions, which become too costly, or taxation, which raises time-consistency problems. Wage-indexed and longevity-indexed bonds in particular yield unambiguous efficiency improvements. To the extent that public pensions remain important, plans with wage-indexed defined benefits seem preferable to defined contributions or price-indexed plans. Capital income taxes and pension trust funds can play a supporting role for risk sharing.
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UK State Pension Reform in a Public Choice Framework
Social security systems for old age have been explicitly studied in a public choice framework for over 30 years. They illustrate extremely well the problems of allocating economic resources through a system of voting. Pension systems also currently provide some of the most significant threats to the long-term budget positions of developed countries, a point that was made in the Nobel Laureate lecture of Professor James Buchanan. In this paper, we look at the costs and benefits that will be faced by different groups of voters as a result of state pension reform in the UK. It is shown that state pension systems will be very difficult to reform in ways that reduce government provision. However, an exception to this general rule is that reform by raising retirement ages may well be politically feasible. These results are in accordance, not just with theoretical work, but with other empirical work and practical observations
Inequality and Social Security Reforms
This paper develops a quantitative Markovian overlapping generations model with altruistic individuals and incomplete financial markets in order to analyze the long-run distributional implications of two hypothetical public social security policy changes, made in response to impending future demographic shifts. The two policy changes considered are first, raising the tax rate while keeping the replacement rate constant and second, keeping the tax rate constant while lowering the replacement rate. Whereas this latter policy is detrimental to the relative situation of the retirees, the huge financial heterogeneity in the first scenario explains why the increase in the proportional labor tax is relatively badly absorbed by low-productivity workers, leading to an increase in welfare inequality. We show that the very popular idea that a more funded system would ineluctably lead to more inequalities in well-being can be justified only by focusing on the inequality of positions in case of general equilibrium.Inequality, social security reform, idiosyncratic uncer-tainty, incomplete markets, altruism
A review of multi-component maintenance models with economic dependence
In this paper we review the literature on multi-component maintenance models with economic dependence. The emphasis is on papers that appeared after 1991, but there is an overlap with Section 2 of the most recent review paper by Cho and Parlar (1991). We distinguish between stationary models, where a long-term stable situation is assumed, and dynamic models, which can take information into account that becomes available only on the short term. Within the stationary models we choose a classification scheme that is primarily based on the various options of grouping maintenance activities: grouping either corrective or preventive maintenance, or combining preventive-maintenance actions with corrective actions. As such, this classification links up with the possibilities for grouped maintenance activities that exist in practice
Minimal repair of failed components in coherent systems
The minimal repair replacement is a reasonable assumption in many practical systems. Under this
assumption a failed component is replaced by another one whose reliability is the same as that of
the component just before the failure, i.e., a used component with the same age. In this paper
we study the minimal repair in coherent systems. We consider both the cases of independent and
dependent components. Three replacement policies are studied. In the first one, the first failed
component in the system is minimally repaired while, in the second one, we repair the component
which causes the system failure. A new technique based on the relevation transform is used to
compute the reliability of the systems obtained under these replacement policies. In the third
case, we consider the replacement policy which assigns the minimal repair to a fixed component
in the system. We compare these three options under different stochastic criteria and for different
system structures. In particular, we provide the optimal strategy for all the coherent systems with
1-4 independent and identically distributed components
Minimal repair of failed components in coherent systems
© 2019
This document is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
This document is the accepted version of a published work that appeared in final form in European Journal of Operational ResearchThe minimal repair replacement is a reasonable assumption in many practical systems. Under this as- sumption a failed component is replaced by another one whose reliability is the same as that of the component just before the failure, i.e., a used component with the same age. In this paper we study the minimal repair in coherent systems. We consider both the cases of independent and dependent compo- nents. Three replacement policies are studied. In the first one, the first failed component in the system is minimally repaired while, in the second one, we repair the component which causes the system fail- ure. A new technique based on the relevation transform is used to compute the reliability of the systems obtained under these replacement policies. In the third case, we consider the replacement policy which assigns the minimal repair to a fixed component in the system. We compare these three options un- der different stochastic criteria and for different system structures. In particular, we provide the optimal strategies for all the coherent systems with 1–4 independent and identically distributed components
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Surplus analysis for variable annuities with a GMDB option
In this paper, we analyze the insurance surplus for a Variable Annuity contract with a Guaranteed Minimum Death Benefit (GMDB) option. Initially, we derive the first two moments of the distribution of the surplus; and subsequently, we develop the whole distribution using a stochastic model which involves an integrated analysis of financial and mortality risk for a portfolio of annuities with GMDB embedded options. We offer a model according which the premium can be modified as per the forecasts of mortality probabilities, interest rate and fund evolution. Moreover, the study enables us to determine the premium that leads to a required probability of insolvency, and so it can be used for an evaluation of the adequacy of solvency. Numerical examples illustrate the results
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Evolution of coupled lives' dependency across generations and pricing impact
This paper studies the dependence between coupled lives - both within and across generations - and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. Dependence is modelled through copula functions. We consider Archimedean single and multi-parameter copulas. We and that dependence decreases when passing from older generations to younger generations. Not only the level of dependence but also its features - as measured by the copula - change across generations: the best-fit Archimedean copula is not the same across generations. Moreover, for all the generations under exam the single-parameter copula is dominated by the two-parameter one. The independence assumption produces quantifiable mispricing of reversionary annuities. The misspecification of the copula produces different mispricing effects on different generations. The research is conducted using a well-known dataset of double life contracts
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