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.
UK universities pension scheme valuation study shows high dependence on gilt yields.
Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.
USS fund risk assessment shows low default chance but high overfunding.
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…
New CDC scheme avoids intergenerational subsidies, offering better outcomes.
India introduces NPS to manage pension liabilities and promote savings.
Study finds risk management significantly improves pension scheme efficiency in Kenya.
In this paper, we investigate the capability of the universal Kriging (UK) model for single-objective global optimization applied within an efficient global optimization (EGO) framework. We implemented this combined UK-EGO framework and studied four variants of the UK methods, that is, a UK with a first-order polynomia…
Study improves pension scheme efficiency in Kenya through governance and risk management.
Proposes a mixed pension system combining PAYG and funded contributions to address sustainability.
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…
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 …
This paper revisits optimal investment strategies for defined contribution pension schemes using forward preferences.
UK hosts 62.89% of all HYIPs, many registered as 'limited company'.
Pension benefits in rural China lead to cognitive decline among the elderly.
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…
This paper explores several types of income which have not been explored so far by authors who tackled income and wealth distribution using Statistical Physics. The main types of income we plan to analyze are income before redistribution (or gross income), income of retired people (or pensions), and income of active pe…
Optimizes pension mix of PAYGO, EET, and individual savings.
Study optimizes pension scheme risk-sharing for longevity bonds.
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.
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…
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 …
The paper critiques UBI as ineffective for addressing technological unemployment.
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to volatility due to rather random perception/interpretation of earnings announcements (am…
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…
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…
Georgia's pension reform affects individual welfare.
New pension design reduces volatility without guarantees.
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
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…
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…
The study uses ML and AI to forecast pension fund mortality, outperforming traditional methods.
Paper finds closed-form solutions for tontine with bequest motive.
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…
The evolution of personal income distribution (PID) in four countries: Canada, New Zealand, the UK, and the USA follows a unique trajectory. We have revealed precise match in the shape of two age-dependent features of the PID: mean income and the portion of people with the highest incomes (2 to 5% of the working age po…
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.