take more stock market risk compared to pension schemes based on individual retirement accounts, because current risks can … be shared with future generations. We setup a continuous time overlapping generations model with labor income risk and … optimal risk-sharing actually implies that collective pension funds should take less stock market risk, not more. If stock and …

intergenerational risk sharing (IRS) rule.Through a simulation-based study, we show that the CDC scheme consistently outperforms the … comparable individual DC scheme in terms of risk-adjusted performance. An extensive sensitivity analysis indicates that this …

maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this … approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls …

market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

’s unique characteristics while suitably quantifying real asset return risk and longevity risk. To accomplish this complex goal …

this context, we discuss which is the most suitable risk measurement for the affiliates to the pension system. Different … financial knowledge, inertia and myopia in decision-making. We calibrate a pension risk model for the Chilean economy, including … measures of life-cycle income, human capital risk, investment and annuitization risks. Our results suggest that affiliates can …

This paper examines the allocation of market risk in a general class of collective pension arrangements: Collective … Defined Contribution (CDC) schemes. In a CDC scheme participants collectively share funding risk through benefit level … participants receive an arbitrage-free return on the market risk they bear. The fact that the participants' claim on the CDC …

and elected plan participants serving on the board, take more risk and use higher discount rates. The increased risk …