Pension decumulation strategies: a state-of-the-art report

Donnelly, C. (Contributor), Thomas Bernhardt (Contributor)

Activity: Other

Description

The authors are part of the ARC research project “Minimising Longevity and Investment Risk while Optimising Future Pension Plans”. The goal is to develop new pension product designs that keep the customers’ needs at the forefront.

As a first step, this report was written to familiarize the project team with the existing knowledge on decumulation strategies. There is a UK-focus in
the report.

The report is aimed at the reader who is familiar with the actuarial world, but are not necessarily familiar with stochastic control techniques. For this reason, technical descriptions of the mathematical methods used to solve many of the problems studied in the cited literature are not included.

Questions relating to property, taxes, regulations and solvency have been ignored in order to keep the focus on what is the state-of-the-art on the fundamental question of “how should I decumulate in retirement”?

The literature on decumulation strategies is vast and only a fraction of it is included. Omission of relevant material is unintentional.
Period30 Apr 2018