We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

The central issue of this paper is analysis and resulting proposals to help unsophisticated pension participants achieve pension portfolios that match their level of risk aversion when there is a large amount of unexplained heterogeneity in risk aversion. Target date funds are commonly used as...

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity. Special-rate life annuities, which are priced, among other factors, on the basis of health and lifestyle factors, go beyond traditional considerations of age and sex by using...

Faced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the importance that this reserve fund plays in the...

This paper establishes a theoretical link between actuarial neutrality and the Oaxaca-Blinder decomposition to empirically assess vertical equity in public defined-benefit schemes. We demonstrate how this approach can be generalized to non-linear functions, point systems, and notional accounts....

This paper examines the effect of gainsharing provisions on the selection of a discount rate for a defined benefit pension plan. The paper uses a traditional actuarial approach of discounting liabilities using the expected return of the associated pension fund. A stochastic Excel model was...

Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan's optimal risk management problem...

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...

This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that...