Centro de Documentacion de Fundación MAPFRE - Portfolio insurance strategies for a target annuitization fund

MAP20200029779

Portfolio insurance strategies for a target annuitization fund / Mengyi Xu, Michael Sherris, Adam W. Shao

Sumario: The transition from defined benefit to defined contribution (DC) pension schemes has increased the interest in target annuitization funds that aim to fund a minimum level of retirement income. Prior literature has studied the optimal investment strategies for DC funds that provide minimum guarantees, but far less attention has been given to portfolio insurance strategies for DC pension funds focusing on retirement income targets. We evaluate the performance of option-based and constant proportion portfolio insurance strategies for a DC fund that targets a minimum level of infiation-protected annuity income at retirement. We show how the portfolio allocation to an equity fund varies depending on the member's age upon joining the fund, displaying a downward trend through time for members joining the fund before ages in the mid-30s. We demonstrate how both portfolio insurance strategies provide strong protection against downside equity risk in financing a minimum level of retirement income. The option-based strategy generally leads to higher accumulated savings at retirement, whereas the constant proportion strategy provides better downside risk protection robust to equity market jumps/volatilities

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 873-912

1. Planes de pensiones . 2. Gerencia de riesgos . 3. Jubilación . 4. Matemática del seguro . 5. Inversiones . 6. Fondos de inversión . I. Sherris, Michael . II. Shao, A.W. . III. Título.