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Pension Projection Models |
Papers on Pension and Social Security Benefits in Retirement
Projecting Future U.S. Pension Benefits
Retirement benefits from employer-sponsored pensions and
social security are projected for a microsimulation sample of the
1990 birth cohort recognizing uncertainty in asset returns and
inflation rates. The variability in pension benefits is such
that a cohort individual, viewing this risk from birth, would
prefer a transfer of government resources from subsidizing
pension contributions to funding scheduled social security
benefits even when assuming a moderate degree of risk
aversion. (January 2009)
Microsimulation Estimates of Automatic-IRA Reform Impact
The Department of Labor is funding additional work on
this topic. A paper will be available here after that work is
completed if the Department gives its permission.
Papers on Asset-Liability Management and Housing Finance
Integrated Asset-Liability Management: An Implementation Case Study
Account of how Fannie Mae implemented aspects of integrated
asset-liability management in different lines of its housing finance
business during the early 1990s, March 1996. Published in Ziemba
and Mulvey (editors), Worldwide Asset and Liability
Modeling, Cambridge University Press, 1998.
Other papers listed in vita
Several papers on various quantitative finance topics by
Martin Holmer published in Operations Research, Interfaces, and
European Journal of Operational Research.
Expert Witness Reports on Prudence of Mortgage Derivative Investments
Ulico v. Clover Capital Management (October 2001)
Herman [DOL] v. Hassenmiller, ..., Connecticut Plumbers and Pipefitters Pension Plan (September 1997)
Philippine Tax Policy Analysis on PERA Reform
Papers on Health Insurance
A Tool for Analyzing State Market-Oriented Reforms:
the Health Insurance Market Simulation Model
Rationale, status, and plans for a stochastic
microsimulation model of the dynamics of establishment and plan
interaction in health insurance markets (January 1995). [The
HISIM model was being developed at that time as part of a RAND
project funded by the Robert Wood Johnson Foundation.]
An Agenda for Simulating Plan Offer Choice by Establishments
and Offer Price Setting by Plans
HISIM model development ideas (April 1996). [The HISIM
model was being developed at that time as part of a RAND project
funded by the Robert Wood Johnson Foundation.]
Other papers listed in vita
Several papers on the tax treatment of health insurance and
on the demand for health insurance by Martin Holmer published in
Review of Economics and Statistics, Management Science, and
Journal of Health Economics.
This page was last revised on February 20, 2010.