We study the optimal management of an aggregated overfunded pension plan of defined benefit type as a two-player noncooperative differential game. The model's key fact is to consider the fund surplus as a strategic variable that makes the pension plan more attractive both for current and future...

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...

In this paper we consider the choice that retirees might make between drawing down from their pension pot and the purchase of an annuity. A key finding of our research that in a world of ‘loss aversion’, across a very wide range of assumptions, there is almost always a ‘crossover point’...

Retirement outcomes would be improved if retirees had access to insurance products that linked guaranteed, inflation-adjusted income to life cycle investment portfolio strategies. Suitable retirement planning for individual, defined contribution plans must concurrently account for trade-offs...

The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. For DC to provide income...

In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

We show that people exposed to greater pension risk are less likely to invest in risky assets. We exploit a reform that links people's future pension benefits to their pension funds' funding ratio — a measure of the fund's financial health — making funding ratios a fund-specific measure of...

In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

We show that people exposed to greater pension risk are less likely to invest in risky assets. We exploit a reform that links people's future pension benefits to their pension funds' funding ratio - a measure of the fund's financial health-making funding ratios a fund-specific measure of pension...

I test whether the introduction of a new pension standard (FRS 17) in the U.K., which virtually eliminated the smoothing mechanisms in pension accounting, is associated with a reallocation of assets from equities to bonds in defined benefit pension plans. My findings indicate that sample firms...