A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
India introduces NPS to manage pension liabilities and promote savings.
Study finds risk management significantly improves pension scheme efficiency in Kenya.
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is target-based. We find that it is po…
Study improves pension scheme efficiency in Kenya through governance and risk management.
Georgia's pension reform affects individual welfare.
Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious concerns for the sustainability of the public pension systems usually financed on a pay-as-you-go (PAYG) basis where current contributions cove…
This paper revisits optimal investment strategies for defined contribution pension schemes using forward preferences.
Pension benefits in rural China lead to cognitive decline among the elderly.
UK universities pension scheme valuation study shows high dependence on gilt yields.
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked security, typically a lo…
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major changes tend to be `grandfathered' meaning that current retirees are exempt from the new changes. In 2015, two important chan…
We introduce a new pension product that offers retirees the opportunity for a lifelong income and a bequest for their estate. Based on a tontine mechanism, the product divides pension savings between a tontine account and a bequest account. The tontine account is given up to a tontine pool upon death while the bequest …
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example Piggott, Valdez an…
Optimizes pension mix of PAYGO, EET, and individual savings.
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are treated differently. It…
Dynamic rule-based investment strategies outperform static ones in pension schemes.
The paper optimizes pension policies with guarantees and sustainability constraints.
Adaptive strategies reduce pension fund costs and risks.
New CDC scheme avoids intergenerational subsidies, offering better outcomes.
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
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 influenc…
Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.
Two pension funds mutually insure against longevity risk.
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The two asset allocation criteria are the ruin probability of the insurance company …
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, an annuity or individual fund requires approximately 20\% more initial capital to provide as good an outcome as a collectivised investment fu…
The paper optimizes retirement spending considering habit formation and pension income.
A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in the scheme, there is an increased risk of the liability value deviating signifi…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the investment risk based on a pre-decided risk-sharing rule. The objective is to maximise …
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
Efficiently preserves old class knowledge in memory-limited settings.
We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic risk diminishes rapidly…
Study examines market risks on pension system sustainability.
We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse's pensions. We show how the standard…
This paper introduces a new correction scheme to a conventional regression-based event study method: a topological machine-learning approach with a self-organizing map (SOM).We use this new scheme to analyze a major market event in Japan and find that the factors of abnormal stock returns can be easily can be easily id…
Currently, pension providers are running into trouble mainly due to the ultra-low interest rates and the guarantees associated to some pension benefits. With the aim of reducing the pension volatility and providing adequate pension levels with no guarantees, we carry out mathematical analysis of a new pension design in…
The study uses ML and AI to forecast pension fund mortality, outperforming traditional methods.
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions concerning the "average" long-time behavior of the stock market. Our aim here is to…
Paper optimizes DC pension fund management with VaR and relative performance constraints.
This review examines TDFs in Chile's pension reform, recommending dynamic glide paths and diversified benchmarks.
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
Neural network predicts optimal pension investments based on preferences.
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international migration patterns under different Brexit scenarios. To fully account for the recently …
Optimizes pension fund management under funding risks.
Deep neural network optimizes retirement consumption in defined contribution pensions.
This paper compares different DRO formulations for pension fund management.
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…
A stochastic model helps maintain insufficiently funded pension funds.
USS fund risk assessment shows low default chance but high overfunding.