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Optimising Future Pension Plans

This commissioned research programme seeks to develop pension product designs that keep the customers' needs at the forefront, to provide 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 is led by Professor Jens Perch Nielson (Cass Business School) and Dr Catherine Donnelly (Heriot-Watt University). The funding supports two PhD students in actuarial science.

Recent news and events

We are delighted to announce that the research team was recently awarded the Bob Alting von Geusau Prize for their paper 'Implementing Individual Savings Decisions for Retirement with Bounds on Wealth'. By Catherine Donnelly, Monserrat Guillen, Jens Perch Nielsen and Ana Maria Perez Marín.

In 2002, AFIR-ERM established The Bob Alting von Geusau Memorial Prize, in honour of its late and long-serving treasurer. The prize was awarded for the first time in 2003 in von Geusau’s home country at the 13th AFIR/ERM Colloquium in Maastricht (Netherlands).

All successful recipients of the Bob Alting von Geusau Prize are listed here.

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IFoA Life Conference 2018: Key insights in decumulation strategies

In the confusing environment of pension freedom, the research team took us through the existing knowledge of decumulation strategies, presenting leading ideas and identifying promising areas for future research within the project. View their presentation here. 

Thomas Bernhardt and Catherine Donnelly, Heriot-Watt University

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ARC Webinar Series: Minimising Longevity and Investment Risk while Optimising Future Pension Plans

Wednesday 03 October 2018

Following the successful launch of last year’s webinar series, the Actuarial Research Centre (ARC) produced a further series of webinars in 2018 to showcase its largest cutting-edge research programmes, addressing some of the significant challenges in actuarial science.

The webinar is presented by one of the Principal Investigators of this research programme, Dr. Catherine Donnelly (Heriot-Watt). By watching this webinar you will learn about the objectives of this research programme and some of the early developments since its commencement in 2016.

A recording of the webinar is available on YouTube and is posted on the IFoA's online learning web pages.

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Half-day workshop: Decumulation and Investment Return-Sharing: What is the Latest Research?

Thursday 13 September

This workshop covered two topics:

- How to invest your savings during retirement.  Industry products are mostly restricted to either life annuity contracts or draw-down with a constant-mix investment strategy.  However, many alternative approaches have been explored in scientific papers.

- Investment return-sharing structures in a pension-saving setting.  There have been many structures examined in the academic literature.  Some of them are stylisations of country-typical participating policies but others are quite unique.   The structures and our understanding of them will be discussed.

The latest scientific research was covered for both topics, including new research for the ARC project.

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ARC Sessional Research Event: Self-selection and risk sharing in a modern world of life-long annuities

Monday 14 May, Staple Inn Hall, London

In this sessional, Professor Jens Perch Nielsen and his co-authors (from Cass Business School) discussed new solutions to three of the most current and challenging problems in pension research. The three challenges that were addressed are:

1) To make the pension product so easy to understand that the pensioner can self-select the financial risk and design the financial investment strategy within minutes;

2) To design automatic and easy to understand mortality risk-sharing between customers;

3) To create automatic and easy to understand investment guarantee risk-sharing between customers, so that they do not have to pay for their investment guarantee and such that the pension company does not need to issue one.

View the event recording 

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

  • Autumn Lecture 2020: Professor Elroy Dimson

    Online webinar
    14 October 2020

    Spaces available

    Many individuals and institutions have a long-term focus, and invest funds for the benefit of future generations. Their strategy should reflect their long horizon. University endowments are one of the oldest classes of institutional investor, and I will present the first study of the management of these endowments over the very long term.

  • GIRO Conference 2020 Webinar Series

    Available to watch globally in November.
    02-13 November 2020
    Spaces available

    This year's GIRO has been re-designed as a virtual conference to offer members and non-members the opportunity to get up to date content from leading experts in the general insurance field via online webinars. All sessions will be recorded and made available to purchase and re-watch post-event on the IFoA's GI Online Learning Resource area

  • Life Conference 2020 Webinar Series

    Online
    16 November 2020 - 27 November 2020

    Spaces available

    This year's Life Conference has been re-designed as a virtual conference to offer members and non-members the opportunity to get up to date content from leading experts in the life insurance field via online webinars. All sessions will be recorded and made available to purchase and re-watch post-event on the IFoA's website.

  • Spaces available

    The webinar will discuss the challenges and opportunities schemes face in evaluating end game options, choosing a target state and understanding the impact this strategic decision could have on member outcomes long after the “end state” is reached. Adolfo, Kevin and Rhian bring over 60 years of experience in the industry and a variety of perspectives as scheme actuary, covenant adviser, trustee, de-risking adviser and insurer.

  • Spaces available

    Cash-flow driven investing is a game-changer for DB pension funds navigating their end-game. Suitable for sponsors who want to reduce risks on their balance sheets. And for trustees, it shifts the focus to providing greater certainty of returns, managing funding level volatility and ensuring they have enough income to pay cash-flow requirements.

  • Spaces available

    Patrick Kennedy, Partner at Gateley Legal and Founding Director of Entrust (a leading professional pensions trustee company), will be delivering an update on the latest legal developments during the course of 2020. With both a pensions legal perspective and over 25 years of trustee service, Patrick will seek to highlight how the letter of the law has continued to evolve against the backdrop of a difficult and challenging year

  • Spaces available

    The talk will provide an understanding of the priorities and relationships between deficit reduction contributions, in the context of wider scheme funding, and different types of value outflow from the employer based on the working party’s recently published report.