We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into a stream of retirement income. In particular, we compare the purchase at retirement age of a conventional life annuity (i.e., a bond-based...

This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. We investigate a model that incorporates three sources of risk: asset risk and salary (or labour-income) risk in the accumulation phase; and interest-rate risk at the point of retirement....

This paper investigates the estimation of long-term VaR. It also suggests a simple approach to the estimation of long-term VaR that avoids problems associated with the square-root rule for extrapolating VaR, as well as those associated with attempts to extrapolate day-to-day volatility forecasts...

This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the reforms since 1980, examines the legal regulatory and accounting framework for occupational pension schemes, assesses the different types of risks...

The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK. It changes the way in which assets are selected. The strategic asset allocation will have overriding importance in pension fund management. Asset classes will be...

As a result of population ageing and declining fertility, the UK state pension system is unlikely to remain viable without a steady inflow of young immigrant workers from abroad. Using plausible assumptions we show that up to 500,000 immigrant workers pa. will be needed to save the state pension...

This paper proposes new performance decomposition measures that allow one to analyse the sources of returns on the international equity holdings of a large cross-section of UK pension funds. Our results suggest that the pension funds earned negative returns both from international market timing...

There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political considerations. The state scheme in the UK has been susceptible to all three types of political risk with the result that the annual real internal rate...

This paper examines the financial system prerequisites needed for the successful delivery of funded private pensions. In particular, it examines the financial instruments and investment strategies required during both the accumulation and decumulation stages. It does so within the context of a...

Large sections of the UK population are failing to make adequate provision for their retirement, and one area where provision is notably poor is amongst people working for small and medium sized businesses. We use information gathered from interviews with individuals from a wide range of...