In the US, Defined Benefit Plans are insured by the Pension Benefit Guaranty Corporation (PBGC). Taking account of the facts that the PBGC covers only the residual deficits of the pension fund the sponsoring company is unable to cover and that the plans can be prematurely terminated, we consider...

Developing a liquid longevity market requires reliable and well-designed financial instruments. An index-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using Australian mortality data and analytical formulas for...

In this article we formulate and solve the optimal design problem of a defined contribution public pension fund, in a highly stylized but still rather general non stationary framework. We adopt the viewpoint of a benevolent social planner who aims at treating in a fair manner the successive...

Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover sys- tematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study...

Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover systematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study of...

Solvency appraising is analyzed by means of an appropriate deductive methodology, pointing out the connection to the time dynamic of the business. This research line is framed into a combined approach to solvency measuring, full of suggestions from a regulatory perspective. The model is...

Following the Pension Protection Act of 2006, there was a sharp increase in the use of TDFs as default investment options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles, even for funds with the same target retirement date. Using...

Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their aggregate longevity risk. There are also wider...

This research studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory defined contribution retirement plan. The paper develops the implications and describes the construction and administration of a...