We determine the optimal asset allocation to bonds and stocks using an Annually Recalculated Virtual Annuity (ARVA) spending rule for DC pension plan decumulation. Our objective function minimizes downside withdrawal variability for a given fixed value of total expected withdrawals. The optimal...

A data driven Neural Network (NN) optimization framework is proposed to determine optimal asset allocation during the accumulation phase of a defined contribution pension scheme. In contrast to parametric model based solutions computed by a partial differential equation approach, the proposed...

In this article we consider the post-retirement phase optimization problem for a specific pension product in Germany that comes without guarantees. The continuous-time optimization problem is defined consisting of two specialties: first, we have a product-specific pension adjustment mechanism...

Gollier (2008) has proposed a model for the analysis of pension schemes that is helpful to focus attention on the impact of intergenerational risk sharing and on the role of the participation constraint. He uses the model to analyze the relative attractiveness of a collective scheme with respect...

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule. Through a...

In this paper, we study an optimal investment problem under joint initial-time and intermediate-time Value-at-Risk regulations and a portfolio insurance (PI) constraint on terminal wealth faced by a defined-contribution pension fund manager. The objective is to maximize the expected utility from...

This paper investigates retirees’ optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan assets to boost Social Security benefits...