We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule.Through a...

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule. Through a...

We study the demand for retirement products given access to innovative plans which depend on the realized survival probabilities, like tontines, in addition to traditional annuities. Preferences of agents are modeled by a generalized life-cycle utility function allowing for temporal risk...

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...

This paper compares two diff erent types of private retirement plans from the perspective of a representative benefi ciary: De fined Benefi t (DB) and Defi ned Contribution (DC) plan. One of the key di fferences is that DB plans carry portability risks, whereas DC plans bear asset and...

The present paper analyzes optimal supervisory rules for pension funds taking account of diverse pension security mechanisms: support provided by either a pension guarantee fund, a plan sponsor or by both. Assuming that the regulatory rule is either to control the shortfall probability or...

The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...

Tontines, retirement products constructed in such a way that the longevity risk is shared in a pool of policyholders, have recently gained vast attention from researchers and practitioners. Typically, these products are cheaper than annuities, but do not provide stable payments to policyholders....

Increases in the life expectancy, the low interest rate environment and the tightening solvency regulation have led to the rebirth of tontines. Compared to annuities, where insurers bear all the longevity risk, policyholders bear most of the longevity risk in a tontine. Following Donnelly and...