Increasing financial pressure on State controlled pension systems has caused, over the last two decades or so, an unprecedented effort by private pension funds (PFs) and insurance companies to issue new types of retirement vehicles. This article investigates the effects of such widespread phenomenon from the perspective of individual asset liability management. A multistage stochastic programming problem has been formulated with investment opportunities including PFs, unit-linked contracts and variable life annuities. The introduction of a specific risk measure with respect to a desirable retirement income stream and a planning horizon spanning the entire individuals’ working life helps to analyse the implications of observed market dynamics on retirement strategies. We present comparative results focusing on the retirement planning problem for three representative individuals carrying different time horizons but common retirement goals. The results show the benefits over traditional pension accumulation plans of dynamic strategies based on mixed portfolios of retirement products.

Retirement planning in individual asset-liability management

CONSIGLI, Giorgio;IAQUINTA, Gaetano;MORIGGIA, Vittorio;
2012-01-01

Abstract

Increasing financial pressure on State controlled pension systems has caused, over the last two decades or so, an unprecedented effort by private pension funds (PFs) and insurance companies to issue new types of retirement vehicles. This article investigates the effects of such widespread phenomenon from the perspective of individual asset liability management. A multistage stochastic programming problem has been formulated with investment opportunities including PFs, unit-linked contracts and variable life annuities. The introduction of a specific risk measure with respect to a desirable retirement income stream and a planning horizon spanning the entire individuals’ working life helps to analyse the implications of observed market dynamics on retirement strategies. We present comparative results focusing on the retirement planning problem for three representative individuals carrying different time horizons but common retirement goals. The results show the benefits over traditional pension accumulation plans of dynamic strategies based on mixed portfolios of retirement products.
journal article - articolo
2012
Consigli, Giorgio; Iaquinta, Gaetano; Moriggia, Vittorio; Di Tria, Massimo; Musitelli, Davide
File allegato/i alla scheda:
File Dimensione del file Formato  
finalPRINT.pdf

Solo gestori di archivio

Versione: publisher's version - versione editoriale
Licenza: Licenza default Aisberg
Dimensione del file 7.17 MB
Formato Adobe PDF
7.17 MB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/27159
Citazioni
  • Scopus 22
  • ???jsp.display-item.citation.isi??? 19
social impact