Optimal hurdle rate and investment policy in lifetime pension pools

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<title>Optimal hurdle rate and investment policy in lifetime pension pools</title>
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<namePart>Sanders, Barbara </namePart>
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<namePart>Sun, Yingfei</namePart>
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<namePart>International Actuarial Association</namePart>
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<abstract displayLabel="Summary">The article analyses the optimal design of collective lifetime pension funds, focusing on the joint determination of the investment policy and the internal discount rate, or hurdle rate. Using dynamic programming and Monte Carlo simulation, it examines how risk preferences, mortality assumptions, and market conditions influence asset allocation and the evolution of benefit payments. The study shows that higher levels of risk aversion lead to more conservative portfolios and lower discount rates. It also assesses the impact of different demographic and financial assumptions on the sustainability of benefits. The results provide practical guidelines for the design of non-guaranteed collective pension products</abstract>
<note type="statement of responsibility">Jean-François Bégin,  Barbara Sanders and Yingfei Sun</note>
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<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591021">
<topic>Fondos de pensiones</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080611989">
<topic>Política de inversiones</topic>
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<topic>Simulación Monte Carlo</topic>
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<topic>Mortalidad</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 31 p.</text>
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