The retirement decision in Germany: a dynamic programming approach
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Aachen
Shaker
2003
|
| Series: | Berichte aus der Volkswirtschaft
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 148 S. graph. Darst. |
| ISBN: | 3832212922 |
Staff View
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| adam_text | Contents
Acknowledgements iii
Contents vii
List of Tables xi
List of Figures xiii
1 Introduction and motivation 1
1.1 Related literature 4
1.1.1 Retirement behavior in Germany 4
1.1.2 Modelling retirement behavior in a dynamic programming framework . . 5
1.2 The contribution of this thesis 6
2 Macroeconomic approach 9
2.1 Demographic development 9
2.2 Social security budget 11
2.3 Average retirement age 14
2.4 Average retirement age by cohort 18
3 Institutional approach 21
3.1 Social Security System in Germany before 1992 23
3.1.1 General rules 23
3.1.2 Program specific rules 25
3.1.3 Behavioral implications 26
3.2 Social Security System in Germany after 1992 30
4 Empirical approach 31
4.1 Category I: Definition, data and sample selection 32
4.1.1 Definition of retirement 32
4.1.2 Data and sample selection 33
vii
CONTENTS
vm . ¦ 4.1.3 Income forecasts 34
4.2 Category II: Econometric and economic methods 35
4.2.1 Option value 36
4.2.2 Random lifetime utility 38
4.3 Category III: Estimation results 39
4.3.1 Eastern Germany 39
4.3.2 Western Germany 41
4.4 Category IV: Policy experiments *
4.5 Evaluation 48
5 Theoretical approach
5.1 Dynamic optimization 5.1.1 Sequence approach 5.1.1.1 An example 51
5.1.2 Dynamic programming 5.1.2.1 An example 55
5.1.3 Lagrange multiplier method 5.1.3.1 An example 59
5.2 Modelling the retirement decision 5.2.1 Discrete labor supply 5.2.1.1 Perfect capital markets and actuarially fair pension benefits . •
5.2.1.2 Relaxing the assumptions 5.2.2 Continuous labor supply 5.2.3 Dynamic programming models 5.3 The optimal stopping model 5.3.1 One retirement program 5.3.2 Multiple retirement programs 5.4 Actuarial fairness and age neutrality 5.4.1 Actuarial fairness 5.4.2 Age neutrality 81
6 An integrated approach: the dynamic programming model
6.1 Dynamic structural models 6.1.1 Discrete Markov Decision Processes (DMDPs) 6.1.2 Optimality of Markovian decision rules .
6.1.3 Identification problem .
6.2 A theoretical model _
6.2.1 Specification of preferences
CONTENTS jx
6.2.2 Specification of beliefs 92
6.3 Numerical solution 94
6.3.1 Preferences 98
6.3.2 Beliefs 99
6.4 Simulation results 102
6.4.1 Beliefs 103
6.4.2 Behavioral implications 104
6.4.3 Income variables 106
6.5 Simulation experiments 109
6.5.1 Comparison to data 109
6.5.2 Institutional experiments only Ill
6.5.2.1 Introduction of adjustment factors in 1992 reform Ill
6.5.3 Macroeconomic experiments only 112
6.5.3.1 Increased earnings uncertainty 112
6.5.3.2 Change in life expectancy 114
6.5.4 Institutional and macroeconomic experiments simultaneously 114
6.5.4.1 Change in mortality rates and adjustment factors simultaneously 115
7 Summary and conclusions 117
7.1 Main findings 118
7.2 Policy implications 121
7.3 Outlook 123
A Data Sources 127
A.I Bundesministerium fur Arbeit und Sozialordnung 127
A.2 Verband Deutscher Rentenversicherungstrager 127
A.3 Statistisches Bundesamt 129
A.4 Wissenschaftlicher Beirat 131
A.5 Empirical literature 133
B Assumptions 135
B.I Specification of preferences and beliefs 136
B.2 Solution method 136
C Notation and abbreviations 137
Bibliography 139
List of Tables
1.1 Basic facts about tin German Public Pension System (GITS). 2000 2
¦1.1 Brief history of German Public Pension System (GPPS) 22
3.2 Pathways to retirement for men in West Germany (1972 legislation) 25
3.3 Pathways to retirement for West German men (1920 cohort) 29
¦4.1 Definition of retirernent . ). (
4.2 Data :j(
4.3 Sample selection :{.r,
4.4 Income forecasts lift
4.5 Econometric methods :j7
4.6 Economic methods . jN
4.7 Estimation results for Eastern Germany 10
4.8 Estimation results (Part 1) for Western Germany 4.!
4.9 Estimation results (Part II) for Western Germany 11
4.10 Mean retirement age in policy simulations from empirical approach Ifi
5.1 Deterministic period utilities 09
5.2 Distribution (iid binomial) of random state variable (].i L.I tig
5.3 Binomial choice probabilities for one retirement program 71
5.4 Logit choice probabilities 73
5.5 Deterministic period utilities 7f
5.6 Binomial choice probabilities for multiple retirement programs 76
6.1 Classification of control problems in general Hi
6.2 Markov Decision Processes (MDPs) 85
6.3 Income definitions 95
6.1 Notation and parameter values for numerical solution X)
6.5 Estimation results for wages and cumulative relative wages 100
A.I Indexation regimes in the German Public Pension System (GPPS) 129
xu LIST OF TABLES
A.2 Labor force participation by age 130
A.3 Projected demographic development of population in Germany 131
List of Figures
2.1 Contribution rates, spending and unemployment in total safety net 10
2.2 Revenue and expenditure by region 11
2.3 Net pension levels and contribution rates 13
2.4 Working phase and retirement phase 15
2.5 Average retirement age by gender and region 17
2.6 Average retirement age by program type and region 17
2.7 Average retirement age by cohort 19
3.1 Pathways to retirement in Germany: males 27
3.2 Distribution of retirement ages (1920 cohort and 1984 cross section of malts) . . 28
3.3 Program entry rates and relative program entry rates (1920 cohort) 28
5.1 Two period consumption savings problem 53
5.2 Retirement problem 65
6.1 Preference for leisure 99
6.2 Average gross nominal earnings and indexation factors from 1925 to 1984 .... 102
6.3 Death and survival rates from 1000 iid simulations 103
6.4 Wages and cumulated relative wages from 1000 iid simulations 101
6.5 Labor supply and retirement ages from 1000 iid simulations 105
6.6 Wages, earnings and consumption from 1000 iid simulations 106
6.7 Wages, earnings, benefits and cumulated relative wages from 1000 iid simulations 108
A.I Future development of contribution rate in GPPS 132
xiii
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| spelling | Knaus, Thomas Verfasser aut The retirement decision in Germany a dynamic programming approach Thomas Knaus Aachen Shaker 2003 XIV, 148 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Berlin, Freie Univ., Diss., 2002 Markov-Entscheidungsprozess (DE-588)4168927-6 gnd rswk-swf Pensionierung (DE-588)4173668-0 gnd rswk-swf Rentenversicherung (DE-588)4049507-3 gnd rswk-swf Dynamische Optimierung (DE-588)4125677-3 gnd rswk-swf Individualentscheidung (DE-588)4268621-0 gnd rswk-swf Intertemporale Allokation (DE-588)4027491-3 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Pensionierung (DE-588)4173668-0 s Individualentscheidung (DE-588)4268621-0 s Markov-Entscheidungsprozess (DE-588)4168927-6 s Dynamische Optimierung (DE-588)4125677-3 s DE-188 Rentenversicherung (DE-588)4049507-3 s Intertemporale Allokation (DE-588)4027491-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010295143&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Knaus, Thomas The retirement decision in Germany a dynamic programming approach Markov-Entscheidungsprozess (DE-588)4168927-6 gnd Pensionierung (DE-588)4173668-0 gnd Rentenversicherung (DE-588)4049507-3 gnd Dynamische Optimierung (DE-588)4125677-3 gnd Individualentscheidung (DE-588)4268621-0 gnd Intertemporale Allokation (DE-588)4027491-3 gnd |
| subject_GND | (DE-588)4168927-6 (DE-588)4173668-0 (DE-588)4049507-3 (DE-588)4125677-3 (DE-588)4268621-0 (DE-588)4027491-3 (DE-588)4011882-4 (DE-588)4113937-9 |
| title | The retirement decision in Germany a dynamic programming approach |
| title_auth | The retirement decision in Germany a dynamic programming approach |
| title_exact_search | The retirement decision in Germany a dynamic programming approach |
| title_full | The retirement decision in Germany a dynamic programming approach Thomas Knaus |
| title_fullStr | The retirement decision in Germany a dynamic programming approach Thomas Knaus |
| title_full_unstemmed | The retirement decision in Germany a dynamic programming approach Thomas Knaus |
| title_short | The retirement decision in Germany |
| title_sort | the retirement decision in germany a dynamic programming approach |
| title_sub | a dynamic programming approach |
| topic | Markov-Entscheidungsprozess (DE-588)4168927-6 gnd Pensionierung (DE-588)4173668-0 gnd Rentenversicherung (DE-588)4049507-3 gnd Dynamische Optimierung (DE-588)4125677-3 gnd Individualentscheidung (DE-588)4268621-0 gnd Intertemporale Allokation (DE-588)4027491-3 gnd |
| topic_facet | Markov-Entscheidungsprozess Pensionierung Rentenversicherung Dynamische Optimierung Individualentscheidung Intertemporale Allokation Deutschland Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010295143&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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