文档介绍：Preliminary
Intergenerational Risk Sharing in the Spirit of Arrow, Debreu,
and Rawls, with Applications to Social Security Design
Laurence Ball
Johns Hopkins University
N. Gregory Mankiw
Harvard University
March 2001
Abstract
This paper examines the optimal allocation of risk in an
overlapping-generations economy. pares the allocation of
risk the economy reaches naturally to the allocation that would be
reached if generations behind a Rawlsian "veil of ignorance" could
share risk with one another plete Arrow-Debreu
contingent-claims markets. The paper then examines how the
government might implement optimal intergenerational risk sharing
with a social security system. One conclusion is that the system
must either hold equity claims to capital or negatively index
benefits to equity returns.
I. Introduction
Do market economies allocate risk efficiently? If not, what
government policies can improve the allocation of risk? These are
classic questions of economic theory. One celebrated es
from the Arrow-Debreu theory of general equilibrium. This theory
teaches that under certain conditions--in particular, if
contingent-claims markets plete--the allocation of risk will
be Pareto efficient. In other words, plete markets,
society can let the invisible hand allocate risk.
This paper explores a deviation from Arrow-Debreu theory that
arises from a simple fact that not everyone is born at the
beginning of time. In an overlapping-generations economy, markets
must be plete, because a person cannot engage in risk-sharing
trades with those who are not yet born. The risks associated with
holding capital assets, for instance, can be shared with others
alive at the same time, but they cannot be shared with future
generations. As a result, the allocation of risk need not be
efficient, and government policy may be able to make Pareto
improvements.
The suboptimality of risk allocation in stochastic
overlapping-generations models has been