Optimal design of private and occupational retirement plans

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Date

2020-05-27

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Dissertation

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Abstract

This cumulative thesis contributes to the field of optimal retirement planning, optimal retirement product design and optimal asset allocation in the context of collective investment problems. In the first part of the thesis, we consider private retirement plans. We analyze novel retirement products which shift the longevity risk (risk of outliving one’s financial resources in retirement) towards policyholders. Various such innovative products have recently appeared in the academic literature and the question arises how beneficial they are for policyholders and insurers. To assess the benefits of retirement plans from a policyholder’s perspective, expected utility has been frequently used in the literature to find optimal payoff structures or to compare different retirement plans. The first three papers in this thesis contribute to this literature and the field of optimal retirement planning by introducing, modeling and analyzing the attractiveness of novel types of retirement plans. In the second part of the thesis, we consider occupational pension plans. In many countries, occupational pension schemes no longer promise guarantees to employees but instead provide a retirement income which depends substantially on the performance of the financial market experienced during the accumulation phase. In the academic literature, it is common that employees are, during the accumulation phase, modeled as investors in a financial market. Using an expected utility framework, it is then possible to derive the optimal continuous-time trading strategy and the resulting optimal wealth level. For a single investor, this procedure is well-documented, both with and without portfolio insurance. The last two papers of the thesis contribute to the literature on optimal asset allocation by analyzing novel types of optimization problems where individuals with heterogeneous risk preferences are tied together in their investment decision and invest collectively under portfolio insurance.

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Faculties

Fakultät für Mathematik und Wirtschaftswissenschaften

Institutions

Institut für Versicherungswissenschaften

Citation

DFG Project uulm

Keywords

Portfolio management, Portfolio selection, Option pricing, Antine, Optimal retirement products, Subjective mortality beliefs, Collective investment problems, Guarantee design, Sharing rules, Portfolio insurance, Stochastic volatility, Tonuity, Versicherung, Alterseinkünfte, Versicherungsmathematik, Finanzmathematik, Insurance, Retirement Income, Portfolio management, Portfolio management; Decision making, Annuities, Tontine life insurance policies, DDC 330 / Economics, DDC 510 / Mathematics