Martin R. Holmer

Learn More
Current methods used for stochastic projection of the finances of the combined Old-Age and Survivors Insurance and Disability Insurance (OASDI) trust fund are described and found to have problems. Structural time series models and alternative Monte Carlo procedures are identified as new methods that may be able to solve these problems. The new methods are(More)
i REGULATORY IMPACT ANALYSIS (RIA) ASSUMPTIONS Simulate 0.5% sample of each birth cohort born in 1935 and subsequent years assuming current-law pension policy, unchanged employer pension offerings (other than automatic enrollment), 2006 OASDI Trustees Report intermediate-cost demographic and economic assumptions with stochastic asset returns and(More)
This research develops mathematical models for an investment problem in asset-liability management of complex xed-income securities under uncertainty. The speciic problem is to fund a known liability with a portfolio of mortgage-backed securities in an uncertain interest-rate environment, but the approach considered extends easily to include other(More)
This report discusses a pension plan characteristics imputation model estimated for PENSIM using data on employer-sponsored pension plans collected by the Bureau of Labor Statistics in the Employee Benefits Survey (EBS), which is now part of the National Compensation Survey. Survey data from (i) small private establishments for 1996 (BLS 1999a), (ii) medium(More)
The PSG models are used to project future pension benefits and social security benefits for the 1990 birth cohort. The projection shows wide variation in future pension benefits, both across macroeconomic scenarios for the whole cohort and across different individual life histories in the same macroeconomic scenario. Viewing this variation as risk to a(More)
Preface This is an intermediate guide for policy analysts using SSASIM, a social security and accounts policy simulation model. This guide assumes that the analyst has already read both Getting Started with the PSG Models SSASIM was originally developed under a series of contracts from SSA as part of the 1994–96 Advisory Council's activities, and has been(More)
PENSIM has been used by the Employee Benefits Security Administration of the Department of Labor (DOL) to estimate the economic impact of a proposed regulation regarding default investments for defined-contribution pensions regulated under Section 404 of ERISA. The full text of the proposed regulation and the results of DOL regulatory impact analysis will(More)