Actuarial Seminar - Mike Zhu (University of Waterloo)

Room 315, Level 3, FBE Building, 111 Barry Street, Carlton

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Johnny Li

johnny.li@unimelb.edu.au

T: +61 3 9035 6308

Title: Hybrid Pension Design: A Case Study of Intergenerational Risk Sharing Plan

Abstract: In this talk, we will discuss the design of hybrid pension plans, in particular, the Intergenerational Risk Sharing (IRS) plans. We study a stylized version of IRS where both contributions and pension rights are adjusted based on the level of pension asset. To ensure the stability of the member's lifetime consumption, we formulate an ergodic control problem. We provide theoretical justification on the optimality of the pension design. In addition, we illustrate the importance of including the regulatory requirements for the sake of fairness across different generations. We also consider the robustness of the pension design with respect to different parameters.