Actuarial Model of the Implicit Pension Debt of China with the Stochastic Interest Rate

摘要

In the global context of population aging, the problem of the implicit pension debt is gradually dominant in China. Firstly, based on the actuarial model of the implicit pension debt with the fixed interest rate, we establish the actuarial model of the implicit pension debt with the stochastic interest rate. Secondly, with the model, the expression of expectation is derived. Finally, Monte Carlo simulation is performed. The result provides a theoretical basis to estimate the exact size of implicit pension debt for Chinese government.