Jennifer Alonso-García

Jennifer Alonso-García
  • PhD in Actuarial Sciences, Universite Catholique de Louvain
  • Professor at Université Libre de Bruxelles

About

42
Publications
5,632
Reads
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281
Citations
Introduction
Jennifer Alonso García joined the Department of Mathematics as a (tenured) Professor of Actuarial Science in October 2019. Besides, she is an Associate Investigator at CEPAR, and Netspar Fellow. Previously she was a (tenure-track) Assistant Professor at the Department of Economics, Econometrics and Finance (EEF) at the University of Groningen and Senior Research Associate at CEPAR.
Current institution
Université Libre de Bruxelles
Current position
  • Professor
Additional affiliations
July 2018 - present
UNSW Sydney
Position
  • Associate Investigator
July 2018 - October 2019
University of Groningen
Position
  • Professor (Assistant)

Publications

Publications (42)
Article
Full-text available
The notional defined contribution pension scheme combines pay-as-you-go financing and a defined contribution pension formula. The return on contributions is based on an index set by law, such as the growth rate of GDP, average wages or contribution payments. The volatility of this return compromises the system's pension adequacy and therefore guara...
Article
Full-text available
The study of mortality is an ever-active field of research, and new methods or combinations of methods are constantly being developed. In the actuarial domain, the study of phenomena disrupting mortality and leading to excess mortality, as in the case of COVID-19, is of great interest. Therefore, it is relevant to investigate the extent to which an...
Article
This paper considers variable annuity (VA) contracts embedded with guaranteed minimum accumulation benefit (GMAB) riders when policyholder’s proceeds are taxed upon early surrender or maturity. These contracts promise the return of the premium paid by the policyholder, or a higher rolled-up value, at the end of the investment period. A partial diff...
Article
We investigate the effect of part-time and full-time work on health using a Markov framework and generalized linear models to smooth the resulting crude rates. The Chapman-Kolmogorov equations are used for a general solution. We apply this model to assess a partial early retirement incentive in the Netherlands, known as ‘the generation pact’. The s...
Article
We investigate the importance of alternative motives for saving and spending patterns after retirement in the Netherlands and Australia. Using an online experimental survey, we elicit the impact on advised spending patterns and underlying saving motives of alternative retirement drawdown designs, ranging from complete flexibility in Australia to fu...
Article
Full-text available
Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to...
Article
Full-text available
Many OECD countries have addressed the issue of increased longevity by mainly increasing the retirement age. However, this kind of reforms may lead to substantial transfers from those with shorter lifespans to those that will live longer than the average, as they do not necessarily take into account the socio-economic differences in mortality. The...
Article
We fielded an online survey in the Netherlands and Australia to explore the influence of an implied endorsement nudge, conveyed by a government regulated drawdown from pension wealth, on spending patterns in retirement. The implied endorsement nudge was effective. It influenced the preferred retirement spending patterns of around 30% of survey part...
Article
Notional Defined Contribution (NDC) pension schemes are defined contribution plans which are pay-as-you-go financed. From a design viewpoint, the countries where NDCs have been implemented cannot guarantee sustainability due to the choice of notional return paid to the contributions and the indexation rate paid to pensions. We study how the scheme...
Article
Full-text available
We analyse the effect of post-financial crisis unemployment dynamics on the Spanish pension system’s financial health using Aggregate Accounting. We compare the basic scenario where the current labour market dynamics persist with a full employment (best-case) scenario. We find that economic risk is the main driver of unsustainability in the short r...
Chapter
Full-text available
Article
Australia and the Netherlands both combine an unfunded non-contributory flat rate pension with prefunded earnings related retirement schemes. Notwithstanding this similarity of structure, however, the two systems are very different. The Netherlands mandates annuitized drawdown structures. In Australia, no prescription, or even guidance, is offered....
Preprint
This paper explores whether implied endorsement can serve as an explanation for the stickiness of retirement drawdown defaults. Using an experimental survey fielded in both the Netherlands and Australia, we analyse the extent to which individuals stick to default drawdowns and whether they perceive government prescribed minimum withdrawals from the...
Preprint
Full-text available
This paper explores whether implied endorsement can serve as an explanation for the stickiness of retirement drawdown defaults. Using an experimental survey fielded in both the Netherlands and Australia, we analyse the extent to which individuals stick to default drawdowns and whether they perceive government prescribed minimum withdrawals from the...
Preprint
Australia and the Netherlands both combine an unfunded non-contributory flat rate pension with prefunded earnings related retirement schemes. Notwithstanding this similarity of structure, however, the two systems are very different. The Netherlands mandates annuitized drawdown structures. In Australia, no prescription, or even guidance, is offered....
Article
There are three main challenges facing pay-as-you-go public pension systems. First, pension systems need to provide an adequate income for pensioners in the retirement phase. Second, participants wish a fair level of benefits in relation to the contributions paid. Last but not least, the pension system needs to be financially sustainable in the lon...
Article
This paper extends the Fourier-cosine (COS) method to the pricing and hedging of variable annuities embedded with guaranteed minimum withdrawal benefit (GMWB) riders. The COS method facilitates efficient computation of prices and hedge ratios of the GMWB riders when the underlying fund dynamics evolve under the influence of the general class of Lév...
Article
The notional defined contribution model combines pay-as-you-go financing and a defined contribution pension formula. This paper aims to demonstrate the extent to which liquidity and solvency indicators are affected by fluctuations in economic and demographic conditions and to explore the introduction of an automatic balancing mechanism (ABM) into t...
Article
Public pension systems are usually pay-as-you-go financed, that is, current contributions cover the pension expenditures. However, some countries combine funding and pay-as-you-go within the first pillar. This article studies a mixed system where a part of the individual’s contribution accrues funded rights whereas the other part accrues pay-as-you...
Preprint
There are three main challenges facing public pension systems. First, pension systems need to provide an adequate income for pensioners in the retirement phase. Second, participants wish a fair level of benefits in relation to the contributions paid. Last but no least, the pension system would need to be financially sustainable in the long run. In...
Preprint
The notional defined contribution pension scheme combines pay-as-you-go fi- nancing and a defined contribution pension formula. The return on contributions is based on a notional rate which is linked to an external index set by law, such as the growth rate of GDP, average wages, or contribution payments. The volatility of this return may introduce...

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