A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds

This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for investigating the behaviour of the demographic variable “new entrants” and the influence it exerts on the financial dynamics of such funds. Further information on pension funds of Italian professional categories and an application to the Cassa Nazionale di Previdenza e Assistenza dei Dottori Commercialisti (CNPADC) are then provided.