In this paper, various option pricing models are used to provide analytical solutions to valuing defined pension liabilities (or securitised parts of pension liabilities) in incomplete markets. Unlike when markets are complete, there is not a single arbitrage-free price for liabilities but...

In this paper, the effect of using retirement income from a variety of sources on initial income rate and the survivability of the income is investigated. The sources of income include pre-existing (‘baseline’) inflation linked guaranteed income (e.g., state pension and uncapped direct...

The effect of constructing an inflation linked bond ladder at the start of retirement on the time before income failure, Y for US and UK retirees is reported. While it is common to construct a ladder whose length conforms to the expected duration of retirement (i.e., liability matching), the...

Estimating a rate of withdrawal for a retirement portfolio that will not lead to its premature exhaustion is one of the key questions that besieges a retirement planner. This rate is commonly referred to as the Safe Withdrawal Rate (SWR). Following a landmark study by Bengen (1994), the most...

We study optimal portfolios for defined contribution (possibly mandatory) pension systems, which maximize expected pensions subject to a risk level. By explicitly considering the present value of future individual contributions and changing the risk-return numeraire to future pension units we...

This paper discusses the likelihood of a family head's participation in a retirement plan as it relates to plan type, employer size, and industry, and also examines asset allocation among 401(k)-type plan participants, defined benefit plan participants, and IRA owners

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...

We pursue a cross-country comparison of relative financial readiness of older households in Japan and the Republic of Korea relative to the United States. Our comparative analysis, using macro-level and harmonized longitudinal household financial data, covers the principal financial channels of...

This paper evaluates a new variant of the popular target date funds used in employer-based retirement savings plans. We call this new variant a "target retirement plan." Instead of increasing the allocation to bond funds as retirement approaches, a target retirement fund gradually purchases...

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...