Pillar 1B (individual accounts) of the Chinese basic pension fund (BPF) have suffered from substantial underfunding due to a series of challenges such as rising longevity, conservative investment policies, and the fragmentation of the pension system. Using an asset-liability model (ALM) we...

We examine the duration-driven trades of duration-sensitive strategic investors, i.e., pensions and life insurers. We use longevity shocks as an identification strategy. Longevity shocks affect these investors' liability durations and induce them to adjust their asset durations. When the...

The value of pension promises already made by US state governments will grow to approximately $7.9 trillion in 15 years. We study investment strategies of state pension plans and estimate the distribution of future funding outcomes. We conservatively predict a 50% chance of aggregate...

Individual retirement savings accounts are replacing or supplementing public basic pensions. However at decumulation, replacing the public pension with an equivalent private sector income stream may be costly. We value the Australian basic pension by calculating the wealth needed to generate an...

We document a new investor bias we call the homeboy bias. Whereas the home bias is a preference for domestic or local assets, the homeboy bias is a preference for domestic fund managers. Using the choices of mutual funds for retirement accounts of the Swedish population, and after controlling...

This paper shows that it is possible for a defined benefit pension plan following an immunized fixed income strategy to have lower long-term funding costs than a pension plan following an equity-based investment strategy. This may be possible even if stocks outperform bonds over the relevant...

We analyse the state of the art in the field of life cycle portfolio choice, a recent strand of the literature on intertemporal portfolio selection. Life cycle models are designed to identify optimal savings and portfolio policies over the lifetime of investors. They can help to improve pension...

We use panel data from the Swiss Labor Force Survey to estimate age-earnings profiles as well as transitory and permanent income shock variances for investor groups distinguished by gender, education and activity rate. Estimation results are then used to stylize several different Swiss investor...

We focus on the decumulation decision that faces an individual upon entering retirement, and seek a rational set of choices for an individual who receives a lump-sum settlement from retirement savings programs, together with accumulated private savings and Social Security credits. In the spirit...

The need to develop securities market has, following the recent international financial crises increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong intertest in ensuring the stable growth of...