The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
problem Periodic evaluation of defined-contribution pension funds to manage risk and improve projections.
method Dynamic risk measure criterion, model-free reinforcement learning, Lee-Carter mortality model.
result Periodic evaluations lead to more risk-averse strategies, while mortality improvements encourage risk-seeking behaviors.
This paper revisits optimal investment strategies for defined contribution pension schemes using forward preferences.
problem Optimal investment strategies derived from backward models are not time-consistent and sub-optimal in real scenarios.
method Introduces forward preferences and solves optimal investment strategies for defined contribution pension schemes.
result Constructs optimal investment strategies for defined contribution pension schemes using forward preferences.
India introduces NPS to manage pension liabilities and promote savings.
problem Managing pension liabilities and promoting savings among employees.
method Comparative analysis of NPS and OPS, addressing stakeholder claims.
result NPS reduces government pension liabilities and promotes disciplined saving.
Deep neural network optimizes retirement consumption in defined contribution pensions.
problem Optimizing consumption in a defined contribution pension system.
method Formulated as a stochastic control problem, trained deep neural network policy.
result Deep neural network outperforms deterministic rules and adapts to market changes.
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…
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…
Optimal withdrawal strategy for DC pension plans maximizes total withdrawals while managing risk.
problem Maximizing withdrawals from DC pension plans while managing risk.
method Optimal stochastic control approach with constraints on withdrawal and asset allocation.
result Optimal strategy yields higher average withdrawals with minimal increase in risk.
Study finds actuarial unfairness in China's pension system, proposing income-dependent annuitization rules.
problem Actuarial fairness in China's NDC pension system when mortality differs across income groups.
method Developed a mortality-differentiated Lee-Carter framework with group-specific baseline mortality schedules and a common period effect, estimated using national and subgroup data.
result Substantial actuarial unfairness in the current age-only divisor, with a reverse transfer from poorer to richer retirees.
Study examines market risks on pension system sustainability.
problem Impact of market risks on pension corpus sustainability.
method Monte Carlo simulations with historical data.
result Market risks significantly impact pension corpus sustainability.
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…
Study finds risk management significantly improves pension scheme efficiency in Kenya.
problem Improving efficiency of pension schemes in Kenya.
method Panel data analysis of 128 pension schemes from 2015-2021.
result Risk management significantly mediates the relationship between corporate governance and pension scheme efficiency.
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…
Study evaluates UK CDC schemes, finding intergenerational cross-subsidies in flat-accrual schemes and dynamic-accrual schemes can reduce but not eliminate them.
problem Intergenerational cross-subsidies in UK CDC schemes, particularly in flat-accrual schemes.
method Comparison of flat-accrual and dynamic-accrual CDC schemes, analysis of performance and level of cross-subsidies.
result Dynamic-accrual schemes can reduce but not eliminate intergenerational cross-subsidies, while flat-accrual schemes often have significant cross-subsidies.
New CDC scheme avoids intergenerational subsidies, offering better outcomes.
problem Intergenerational cross-subsidies in UK CDC schemes.
method Collective-Drawdown CDC approach using explicit insurance contracts.
result Better pension outcomes with no intergenerational cross-subsidies.
Paper optimizes DC pension fund management with VaR and relative performance constraints.
problem Optimizing DC pension fund performance under VaR and relative performance constraints.
method Introduced an auxiliary process to transform the problem into a self-financing problem, combined linearization, Lagrange dual, martingale, and concavification methods.
result Explicit investment strategies obtained for certain penalty and reward functions.
This paper optimizes DC pension plan investments using O-U process and loan.
problem Optimizing investment strategy for DC pension plans under specific market conditions.
method Dynamic programming and Hamilton-Jacobi-Bellman equation to derive optimal investment strategy.
result Explicit expression for optimal investment strategy derived.
Optimizes pension fund management under funding risks.
problem Managing DB pension fund under underfunded and overfunded conditions.
method Stochastic model with Ornstein-Uhlenbeck interest rate, geometric Brownian motion for benefits, and cash, bond, stock investments.
result Optimal wealth process, portfolio, and efficient frontier obtained under various tolerance levels for solvency risk.
Investment strategy for DC pension plan with inflation risk and tail VaR constraint.
problem Maximizing terminal wealth for pension member with tail VaR constraint.
method Lagrange method and quantile optimization techniques.
result Optimal investment strategy and output in closed-form derived.
Dynamic rule-based investment strategies outperform static ones in pension schemes.
problem Managing retirement income with dynamic investment strategies.
method Rule-based investment strategies compared to dynamic programming.
result Rule-based strategies achieve higher probability of meeting retirement income targets.
UK universities pension scheme valuation study shows high dependence on gilt yields.
problem High dependence of UK universities pension scheme on UK government bond yields.
method Analysis of USS valuations from 2014 to 2023, examination of self-sufficiency conditions, and evaluation of metrics.
result Second self-sufficiency condition amplifies gilt yield dependence, leading to inflated liabilities and excessive prudence.
Investigates risk measures for DC pension decumulation.
problem Develop optimal decumulation strategies for DC plan holders.
method Formulates decumulation as a control problem, studies risk measures (expected shortfall, linear shortfall, probability of shortfall).
result Optimal controls for expected reward and expected shortfall are identical to those for expected reward and linear shortfall.
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
problem Optimizing investment strategies for occupational pension plans in the presence of non-tradable income risk.
method Formulated as a stochastic optimization problem, analyzed in both constant and stochastic volatility environments.
result Random contributions induce the optimal glide path structure, influenced by initial wealth, contributions, and risk aversion.
A neural network approach solves optimal decumulation problems for pension plans.
problem Optimal asset allocation and withdrawal strategies for DC pension holders.
method Data-driven neural network optimization with customized activation functions.
result The neural network approach learns near-optimal solutions comparable to HJB PDE methods.
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 …
Optimizes pension mix of PAYGO, EET, and individual savings.
problem Balancing PAYGO, EET, and individual savings in funded pension schemes.
method Solves a Nash equilibrium between pension participants and government, considering age-dependent preferences and optimal asset allocation.
result Identifies critical ages and optimal contribution rates for maximizing overall utility.
A declining CVaR glidepath framework for TDF design with Chilean pension system application
problem Designing Target-Date Funds around an explicit return objective while controlling risk
method Propose a framework for designing TDFs with a declining CVaR constraint
result Key feature: conservative evaluation of each glidepath
The paper optimizes pension policies with guarantees and sustainability constraints.
problem Designing optimal pension policies with guarantees and sustainability constraints.
method Dynamic utility model, stochastic domain, overlapping generations, time-consistent decision criterion.
result Optimal investment/pension policy computed for a general framework.
Paper proposes decentralized annuities for better retirement security.
problem Current pension systems' limitations and fairness issues.
method Theoretical models and fairness concepts analysis.
result Decentralized annuities offer enhanced flexibility and social welfare.
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…
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…
Optimal portfolios for fat-tailed risks using a new tail risk measure.
problem Optimizing portfolios for pension funds and insurance liabilities with extreme risk sensitivity.
method Developed a new tail risk measure (Extreme Deviation, XD) and optimized portfolios based on this measure.
result Optimal portfolios maximize return per unit of XD, balancing hedging and risk contributions.
This review examines TDFs in Chile's pension reform, recommending dynamic glide paths and diversified benchmarks.
problem Chile's pension system needs to adapt to modern investment strategies.
method Comprehensive review of TDFs, highlighting challenges and opportunities for Chilean regulators and fund managers.
result Dynamic glide paths and diversified benchmarks are recommended for better retirement outcomes.
Georgia's pension reform affects individual welfare.
problem Optimizing pension systems to ensure old age welfare and reduce budgetary pressure.
method Historical analysis, comparative international experience, and assessment of investment potential.
result Challenges and potential improvements of the mandatory funded pension system.
Paper analyzes robust strategies in a pension plan game with ambiguous financial markets.
problem Analyzing robust strategies in a defined benefit pension plan game with ambiguous financial markets.
method Formulated and solved two robust non-zero-sum games using stochastic dynamic programming.
result Explicit forms and optimality of the solutions are shown for the firm and union.
Stochastic model for pension insurer assets and liabilities with mortality risk.
problem Modeling assets and liabilities with mortality risk in pensions insurers.
method Multivariate stochastic process for asset and liability returns, capturing dynamics and dependencies.
result Efficient computation of a million scenarios on personal computers.
Pension benefits in rural China lead to cognitive decline among the elderly.
problem Cognitive decline in late adulthood among rural Chinese elderly.
method Examined the effects of a new pension scheme on cognitive performance.
result Pension benefits negatively impact cognitive functioning, particularly delayed recall.
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…
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…
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 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.
problem Incorporating longevity risk into pension fund financial assessments.
method Employed actuarial learning with ML/AI techniques (regression trees, random forest, boosting, XGBoost, CatBoost, neural networks) on actuarial data.
result ML/AI algorithms outperform the Lee-Carter model in mortality forecasting for pension funds.
Adaptive strategies reduce pension fund costs and risks.
problem Managing longevity and volatility risks in pension funds.
method Modular simulation framework with customizable metrics.
result Substantial reduction in pension plan costs and default risk.
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
problem Optimal investment and pension policies in PAYG systems with sustainability and adequacy constraints.
method Non-zero volatility forward CRRA utilities, closed-form optimal policies, detailed numerical analysis.
result Characterization of optimal policies and detailed impact analysis under various scenarios.
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…
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…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero coupon bond price, the inflation-linked bond and the risky asset. A plan member…
Study improves pension scheme efficiency in Kenya through governance and risk management.
problem Limited research on efficiency of Kenyan pension schemes under governance structures.
method Quantitative panel regression analysis on 128 Kenyan pension schemes over 7 years.
result Employee board members have a significant positive effect on pension scheme efficiency.
Neural network predicts optimal pension investments based on preferences.
problem Optimal pension investment problem with varying preferences.
method Used a neural network to identify optimal solutions to a family of investment problems.
result Validated network accuracy using classical numerical methods.