We analyze the impact of risk and ambiguity aversion using a lifecycle recursive utility model. Both risk and ambiguity aversion are shown to reduce annuity demand and enhance bond holdings. We obtain this result using an intertemporal framework in which we can vary both risk and ambiguity...

This paper uses stochastic simulations on calibrated models to assess the optimal degree of reliance on fun ded pensions and on a particular type of unfunded (PAYG) pension. Surprisingly little is known about the optimal split between funded and unfunded systems when there are sources of...