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.
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
Georgia's pension reform affects individual welfare.
The study uses ML and AI to forecast pension fund mortality, outperforming traditional methods.
This review examines TDFs in Chile's pension reform, recommending dynamic glide paths and diversified benchmarks.
Adaptive strategies reduce pension fund costs and risks.
Optimizes pension fund management under funding risks.
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…
Two pension funds mutually insure against longevity risk.
This paper compares different DRO formulations for pension fund management.
A stochastic model helps maintain insufficiently funded pension funds.
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…
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…
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…
Paper optimizes DC pension fund management with VaR and relative performance constraints.
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…
The paper optimizes pension policies with guarantees and sustainability constraints.
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
Upper bounds on utility for managing heterogeneous collectivised funds.
Paper analyzes robust strategies in a pension plan game with ambiguous financial markets.
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We give a numerical algorithm to compute the optimal investment-consumption strategy for an infinite collective of identical investors with exponential Kihlstrom--Mirman preferences, in…
Optimizes pension mix of PAYGO, EET, and individual savings.
Study assesses additional factors for identifying persistent alpha in pension funds.
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We compute analytically the optimal investment-consumption strategy for a fund of identical investors with homogeneous Epstein--Zin preferences, investing in the Black--Scholes mark…
We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC …
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…
UK universities pension scheme valuation study shows high dependence on gilt yields.
Study examines market risks on pension system sustainability.
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…
Deep neural network optimizes retirement consumption in defined contribution pensions.
USS fund risk assessment shows low default chance but high overfunding.
A declining CVaR glidepath framework for TDF design with Chilean pension system application
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven…
Optimal portfolios for fat-tailed risks using a new tail risk measure.
Dynamic rule-based investment strategies outperform static ones in pension schemes.
Study on pooled annuity funds and how initial savings affect income stability.
Study improves pension scheme efficiency in Kenya through governance and risk management.
Stochastic model for pension insurer assets and liabilities with mortality risk.
In this paper we consider three types of embedded options in pension benefit design. The first is the Florida second election (FSE) option, offered to public employees in the state of Florida in 2002. Employees were given the option to convert from a defined contribution (DC) plan to a defined benefit (DB) plan at a ti…
This article presents a new model for demographic simulation which can be used to forecast and estimate the number of people in pension funds (contributors and retirees) as well as workers in a public institution. Furthermore, the model introduces opportunities to quantify the financial ows coming from future populatio…
The main purpose of this paper is to analyze solutions to a fully nonlinear parabolic equation arising from the problem of optimal portfolio construction. We show how the problem of optimal stock to bond proportion in the management of pension fund portfolio can be formulated in terms of the solution to the Hamilton-Ja…
Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.
We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two…
In this paper, we propose a stochastic investment model for actuarial use in South Africa by modelling price inflation rates, share dividends, long term and short-term interest rates for the period 1960-2018 and inflation-linked bonds for the period 2000-2018. Possible bi-directional relations between the economic seri…
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: 1) longer horizon …
India introduces NPS to manage pension liabilities and promote savings.
Investors adjust spending based on a social norm, spending less during losses and more during gains.
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…