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Optimising Future Pension Plans: Phase I

This commissioned research programme sought to develop pension product designs that kept the customers' needs at the forefront, provided a real income in retirement, whilst minimising costs for the customer.

Programme objectives

  • share risks between customers
  • determine the trade-off between the performance and stability of pension income
  • study how to incorporate and manage illiquid assets that can be used to hedge inflation
  • establish a framework to analyse the trade-off between the performance and stability of pension income in the proposed products
  • determine dynamic econometric models that are suitable for our long-term products
  • and determine how the dynamic econometric models can be used to optimally time to buy and sell assets.

This multidisciplinary team was led by Professor Jens Perch Nielson (Cass Business School) and Dr Catherine Donnelly (Heriot-Watt University). The funding supported two PhD students in actuarial science.

Programme Outputs

Over 40 outputs were produced during Phase 1 of this programme, here are five key papers: 

Title  Authors
Quantifying the trade-off between income stability and the number of members in a pooled annuity fund T. Bernhardt and C. Donnelly, ASTIN Bulletin (2021), 51(1), pp101-130. 
Modern tontine with bequest: Innovation in pooled annuity funds 

T. Bernhardt and C. Donnelly, Insurance: Mathematics and Economics (2019), 86, pp168-188.

Implementing individual savings decisions for retirement with bounds on wealth

C. Donnelly, M. Guillén, J.P. Nielsen and A.M. Peréz-Marín. ASTIN Bulletin (2018), 48(1), pp111-137.

Pension Decumulation Strategies: A State-of-the-Art Report

T. Bernhardt and C. Donnelly (2019)

Product options for enhanced retirement income C. Donnelly and J. Young. British Actuarial Journal (2017), 22(3), pp636-656

Recent news and events
 

Contact Details

If you want more information about our research programmes please contact the IFoA Actuarial Research Centre:

arc@actuaries.org.uk

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Events calendar

  • Spaces available

    Over recent months there has been a sharp rise in M&A activity involving British businesses, with interest from overseas, domestic buyers and Private Equity investors.  

  • Spaces available

    Frank Redington is recognised as one of the most influential actuaries of all time. In this talk, Craig will review some of Redington's most important ideas. He will identify the consistent actuarial principles that form a common thread across the contributions Redington made to a broad range of actuarial fields, and will highlight the ongoing relevance of Redington's thinking to 21st century actuarial practice.

  • Spaces available

    The IFoA Mental Health working party look back over their week of blogs and podcasts considering all aspects of the relationship between mental health and life insurance. The expert panel spans adviser, underwriter and actuarial experience and they  explore triggers for purchasing insurance relating to mental health, the various routes to insurance and how these may be more suited to different people depending on their conditions and preferences, the products and processes involved in purchasing these as well as what claims and support are available to policyholders and how to access them.

  • Spaces available

    Part of the 'Finance in the Public Interest 2022' webinar series. If it was ever okay to consider your business in isolation from its surroundings, today it most definitely is not. Thinking about business within its surrounding system is now a necessity. The question we seek to discuss is: How should we prescribe the boundaries in which we consider problems to enable us to create better products and more resilient companies and systems?

  • Spaces available

    What will happen to DC pension savers who see life annuities as poor VFM but still want an income for life?  Pooled annuity funds could offer them a decent lifetime income while reducing significantly the complex choices and risk inherent in income drawdown.  They could be the next generation of CDC pension schemes, slotting into the existing DC framework as a post-retirement option.