This paper studies the optimal life cycle consumption and portfolio choice problem taking into account annuity risk due to stochastic interest rates. When the purchase of annuities is restricted to the retirement date, the annuitant is exposed to the risk of meeting low interest rates at the...

We construct an optimal investment portfolio model with deferred annuities for an individual investor saving for retirement. The objective function consists of power utility in terms of secured retirement income from the deferred annuity purchases, as well as bequest from remaining wealth...

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 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...

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...

We show that incorporating defined benefit pension funds in an asset pricing model with incomplete markets improves its ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We emphasize the importance of the pension fund's...

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...

Thesis is a collection of three papers with several contributions to the optimisation of future pension plans for the long-term savers while minimising their investment risk. Since pillar aim is to improve the transparency of the pension funding, we develop investment strategies for individual...

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...

Little is known about the degree to which individuals are uncertain about their future Social Security benefits, how this varies within the U.S. population, and whether this uncertainty influences financial decisions related to retirement planning. To illuminate these issues, the authors present...