Linear risk sharing in intergenerational pension

Michail Anthropelos, An Chen, Steven Vanduffel () and Morten Wilke

Scandinavian Actuarial Journal, 2025, vol. 2025, issue 3, 237-270

Abstract: We introduce and analyze a novel collective defined contribution plan (CDC) that guarantees at least a target benefit as a lump sum upon retirement. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule. Through a simulation-based study, we show that the CDC scheme consistently outperforms the comparable individual DC scheme (IDC) in terms of risk-adjusted performance. An extensive sensitivity analysis indicates that this outperformance is robust, especially in a ‘double-hit’ scenario where the underlying market dynamics and the demographics are severely worse than expected. Our work indicates that guaranteed retirement benefits can be organized via a CDC scheme with IRS in a way that it is, first, beneficial for all generations to join and, second, resilient against demographic change.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2024.2405927 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2025:y:2025:i:3:p:237-270

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.2024.2405927

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().