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 |
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