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Browsing by Author "Pinheiro, Frederico Jorge Machado"

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  • Development of a calculation tool for making pension projections in the scope of occupational defined contribution pension schemes
    Publication . Pinheiro, Frederico Jorge Machado; Simões, Onofre Alves; Frederico, Sofia Gandiaga
    The ageing of the population is leading to reforms in Social Security systems with negative impact on the levels of retirement income. One way to minimize this impact is to reinforce the role of complementary pension schemes. Pension projections can be an important tool to support individuals in their decision-making about the savings for retirement and have been a part of several initiatives at the European Union level. This report is the result of an internship at the Insurance and Pension Funds Supervisory Authority (ASF) and focuses on the development of a calculation tool for making pension projections in the scope of occupational defined contribution pension schemes. The work aims to study the potential performance of different investment strategies using an Economic Scenario Generator framework and evaluate the impact on the retirement income that such investment strategies produce, considering also different assumptions with regard to mortality tables and discount rates applied in the calculation of annuities. The model developed considers three main risk factors: (1) financial market risk, which includes uncertainty over return on investment, inflation and interest rates; (2) labour risk, originated from uncertainty over real wage growth path; (3) demographic risk, as a result of increasing life expectancy.
    2021-09Master thesis Open access Show more