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Pensions: research outputs and policy briefings

An overview of IFoA and ARC publications and presentations relating to pensions.

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Key research outputs

Title

Type of output

Date

Authors

Modern tontine with bequest: innovation in pooled annuity products - accepted for publication in Insurance: Mathematics and Economics Research paper April, 2019 T. Bernhardt, C. Donnelly,
20th Global Conference of Actuaries, Mumbai 2019: workshop Presentation Mar, 2019

J.P. Nielsen

Choice of Benchmark when forecasting long-term stock returns - submitted to Annals of Operational Research

Research paper Dec, 2018 I. Kyriakou, P.  Mousavi, J. P. Nielsen, M. Scholz
Actuarial and Financial Mathematical Conference 2019: How much to put in a tontine? Presentation Feb, 2019 T. Bernhard, C. Donnelly
SFRA Workshop: Simplifying Retirement Presentation Feb, 2019 C. Donnelly
IFoA Life Conference 2018 workshop: Key insights in deculmulation strategies Presentation Nov, 2018 T. Bernhardt, C. Donnelly
21st Century Retirement: Modern Tontines Webinar Oct, 2018

C. Donnelly

Pooling Pensioners' Resources - The Actuary Article Sept, 2018 C. Donnelly

Population Structure and Asset Values

Research paper 14 June 2018 S. Bonnar, L. Curtis, M. Leon-Ledesma, J. Oberoi, K. Rybczynski, M. Zhou

Graphical model approaches

Research paper 23 May 2019 Jaideep S. Oberoi, Aniketh Pittea and Pradip Tapadar

Policy briefings

Title Type of output Date Authors
Retirement adequacy: an open goal  Briefing 23 July 2018 IFoA
Retirement Readiness: Survey report from Australia, the UK and the USA 

Briefing

11 October 2017 IFoA
Can we help consumers avoid running out of money in retirement?

Briefing

25 April 2018 IFoA
Intergenerational Fairness Bulletin: Issue 2 – Retirement 

Briefing

31 May 2017 IFoA

Other outputs

Title

Type of output

Date

Authors

Communication and Personal Selection of a pension saver's financial risk - Accepted for publication in the European Journal of Operational Research Paper Sept, 2018 J. P. Nielsen. R. Gerrard, M. Hiabu, I. Kyriakou
Workshop at the IFoA | Key insights in decumulation strategies Presentation Sept, 2018 T. Bernhardt
Workshop at the IFOA | Investment risk-sharing Presentation Sept, 2018 C. Donnelly
IFoA Pensions Conference | Can Modern Tontines invigorate pensions? Presentation June, 2018 C. Donnelly
International Congress of Actuaries | Simplifying Retirement by Aligning Communication with Retirement Outcomes Presentation June, 2018 C. Donnelly
A State of the Art Report on Investment Risk Sharing Paper May, 2018 R. Chehab, C. Donnelly
Workshop at the Belgium Institute of Actuaries | Methods of Pooling Longevity Risk Presentation May, 2018 C. Donnelly
ARC Sessional event | Self-selection and risk sharing in a modern world of life-long annuities Presentation May, 2018 R. Gerrard, M. Hiabu, I. Kyriakou, J. P. Nielsen
ARC Sessional paper | Self-selection and risk sharing in a modern world of life-long annuities - Accepted for publication in the BAJ Paper May, 2018 R. Gerrard, M. Hiabu, I. Kyriakou, J. P. Nielsen
A State of the Art Report on Pension Decumulation Strategies Paper April, 2018 T. Bernhardt, C. Donnelly
Annual Risk and Stochastics Conference at LSE | Reinventing the life annuity Presentation April, 2018 C. Donnelly

Choice of Benchmark When Forecasting Long-term Stock Returns - Submitted to the Annals of Operational Research

Paper November, 2018

Ioannis Kyriakou, Parastoo Mousavi, Jens Perch Nielsen, Michael Scholz

 A customer-focused investment product (a Knowledge Sharing Scotland event at Heriot-Watt University, Edinburgh) Presentation December, 2017 Donnelly, C.
Long term investment and longevity risk for pension modelling (Annual research programme workshop) Presentation December, 2017 Nielsen, J.P., Sperlich, S.
What will my income be in retirement?  (ANU faculty seminar, Canberra) Presentation November, 2017 Donnelly, C.
What can we do to improve private pension outcomes? (ANU RSFAS summer research camp, Canberra) Presentation November, 2017 Donnelly, C.
How much will I have to live on in retirement' (workshop at the IFoA Life Conference 2017, Birmingham) Presentation November, 2017 Bernhardt, T., Chehab, R.
Capitalising on pensions freedoms: reinventing  the life annuity (Royal Statistical Society, London) Presentation November, 2017 Donnelly, C.
Self Selection of Financial Risk (IAA Life Colloquium, Barcelona) Presentation November, 2017 Nielsen, J.P
Simplifying retirement (Zurich-Hannover Workshop on Insurance and Financial Mathematics 2017) Presentation November, 2017

Donnelly, C.

Minimising Longevity and Investment Risk, while Optimising Future Pension Plans (IAA Life Conference) Plenary October, 2017 Nielsen, J.P.

What is the future of pensions? (21st International Congress of Insurance: Mathematics and Economics)

Presentation July, 2017

Donnelly, C.

Communication and Self Control of a Pension Saver's Risk (ATRC 2017) Presentation

July, 2017

Hiabu, M.
Communication and Self Control of a Pension Saver's Risk (IFoA’s Risk Investment and Pensions Conference 2017) Workshop June, 2017 Nielsen, J.P., Hiabu, M.
Communication and self control of a pension saver's financial risk Webinar June, 2017 Nielsen, J.P.
Communication and Self Control of a Pension Saver's Risk (Seminar at Cass Business School) Seminar May, 2017 Hiabu, M.
Dynamic long-term return models to be used for pension products (Seminar at Cass Business School Seminar May, 2017 Scholz, M.

Facing up to longevity with old actuarial methods: a comparison of pooled funds and income tontines (accepted for publication in Geneve Papers)

Publication April, 2017 Brautigam, M., Guillen, M., Nielsen, J.P.

Product options for enhanced retirement income (accepted for publication in the BAJ)

Publication January, 2017 Donnelly, C., Young, J.

Implementing individual savings' decisions for retirement with bounds on wealth (accepted for publication in the ASTIN bulletin)

Publication January, 2017 Donnelly, C., Guillen, M., Nielsen, J.P., Perez-Marin, A.M.
Keeping the benefits but not the guarantees (CILA conference 2016) Presentation May, 2016

Donnelly, C.

Improved Nonparametric Estimation of the Sharpe Ratio (9th International Conference of the ERCIM WG on Computational and Methodological Statistics)

Presentation November, 2016 Scholz, M

 

 

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    Sessional Meeting - Free to viewMis-estimation risk is a key element of demographic risk, and past work has focused on mis-estimation risk on a run-off basis.  However, this does not meet the requirements of regulatory regimes like Solvency II, which demands that capital requirements are set through the prism of a finite horizon like one year.  This paper presents a value-at-risk approach to mis-estimation risk suitable for Solvency II work

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    The proposals come from a recent review of the PC Scheme which was the first substantive look at the IFoA’s approach to the requirements and process for PCs since 2010. It responds directly to feedback received on how the current scheme works especially that received from members and PC Holders.