The aim of this paper is to analyze a particular demographic risk in pay-as-you-go (PAYG) pension funds. We focus on the influence of the demographic variable 'new entrants' and on its impact on the future evolution of the fund. The model adapts well to a closed pension fund which operates...

Pension prefunding can be used to smooth contribution rates in economies where aging will increase pension expenditure. But how extensive should prefunding be in a defined benefit pension system when there is considerable uncertainty concerning future mortality, fertility, and migration? We...