Many countries seek to improve their pension systems by introducing corporate and individual savings plans to address the challenges of demography, social security, and economy. However, the establishing of a long-term, reliable savings system encounters multiple impediments. The retrospective...

We consider the problem of finding the optimal annuitization time in the decumulation phase of a defined contribution pension scheme, exploiting the model of Gerrard, Højgaard and Vigna (2010). We make extensive numerical investigations on the optimal annuitization time, size of final annuity...

The paper seeks to explain the huge cross country variation in private pension funding,shaped by historical choice made when universal pension systems were created after theGreat Depression. According to Perotti and von Thadden (2006), large inflationaryshocks due to war damage devastated middle...

We analyze the rationale for the pay-as-you-go (paygo) pension system existence on diversi fication grounds. A continuous-time portfolio choice setting is built, basing on Merton (1971)´s analysis, where a reasonable balance between the taking account of the economic and fi nancial facets of...

This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...

In this article, we determine a charge on balance that is equivalent to a certain fixed charge on flow for a particular utility-maximizer affiliate participating in a defined-contribution pension fund under the system of individual accounts. We also prove, under market completeness, that the...