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Modeling Public Pensions with Mathematica and Python

Seth J. Chandler
Organization: Unversity of Houston Law Center

Wolfram Technology Conference 2013
Conference location

Champaign, Illinois, USA

Defined benefit pension plans are the predominant method of retirement compensation for state government employees. They create entitlements to annuities whose value is determined by a plan-specific complex function of their salary trajectory and other parameters such as cost of living adjustments, replacement rates and mortality risk. The presence of these plans, often heavily underfunded, has placed enormous pressure on state budgets. Rational debate about how to fairly relieve this stress and develop alternatives has been impeded by the staggering complexity of the mathematics involved and the inaccessibility of open computational tools that can relate variables over which parties traditionally negotiate to plan benefit and cost streams. The field has become a black box, with complete reliance on specialized actuaries and proprietary software, in which opacity exacerbates pre-existing suspicion.

This presentation shows how The Novim Group, a foundation emerging out of the Kavli Institute for Theoretical Physics, has been working with a large team to develop public domain tools to rationalize understanding of these extraordinarily complex instruments. The team has made Mathematica the central language in its prototyping efforts and used connectivity created by MathLink and Pythonika to create a bridge between a Mathematica based research tool and a Python/Cython-based public domain library. The result shown here of this collaboration is a library of integrated functions that will be made available to the public. They accelerate by several orders of magnitude computations previously available only via expensive proprietary systems. They will likewise form the backbone for tablet and web-based interfaces by which both the public and specialists can explore both at a basic and more advanced level not just the future of existing pension plans but the costs and benefits of various proposed reforms.

*Wolfram Technology
Related items

*Modeling Public Pensions with Mathematica and Python II   [in Conference Proceedings]

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Chandler_Pensions_WTC2013.nb (2.4 MB) - Mathematica Notebook
Pensions.nb (2.5 MB) - Mathematica Notebook