Actuarial Model of the Implicit Pension Debt of China with the Stochastic Interest Rate

DOI

10.2991/essaeme-15.2015.138How to use a DOI?

Keywords

stochastic interest rate, implicit pension debt, Monte Carlo simulation

Abstract

In the global context of population aging, the problem of the implicit pension debt is gradually dominant in China. Firstly, based on the actuarial model of the implicit pension debt with the fixed interest rate, we establish the actuarial model of the implicit pension debt with the stochastic interest rate. Secondly, with the model, the expression of expectation is derived. Finally, Monte Carlo simulation is performed. The result provides a theoretical basis to estimate the exact size of implicit pension debt for Chinese government.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - N.N. Jia
AU  - J.B. Yang
AU  - H. Yang
PY  - 2015/10
DA  - 2015/10
TI  - Actuarial Model of the Implicit Pension Debt of China with the Stochastic Interest Rate
BT  - Proceedings of the 2015 International Conference on Economics, Social Science, Arts, Education and Management Engineering
PB  - Atlantis Press
SP  - 643
EP  - 647
SN  - 2352-5398
UR  - https://doi.org/10.2991/essaeme-15.2015.138
DO  - 10.2991/essaeme-15.2015.138
ID  - Jia2015/10
ER  -