Portfolio Insurance Strategies for Target Annuitisation Funds

25 Pages Posted: 3 Dec 2015

See all articles by Mengyi Xu

Mengyi Xu

Purdue University; University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR)

Michael Sherris

UNSW Business School

Adam Wenqiang Shao

SCOR Global Life; University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR)

Date Written: December 3, 2015

Abstract

Defined contribution (DC) pension funds: A huge burden of complex decision making on individuals; Lack of integration between accumulation and decumulation phases.

Provide sustainable income flows (Blake et al., 2008; Financial System Inquiry, 2014): Finance a desired consumption path; Target annuitisation fund (Impavido et al., 2012); Pension fund managers have no liability.

Suggested Citation

Xu, Mengyi and Sherris, Michael and Shao, Adam Wenqiang, Portfolio Insurance Strategies for Target Annuitisation Funds (December 3, 2015). 7th Australasian Actuarial Education and Research Symposium, Available at SSRN: https://ssrn.com/abstract=2698728 or http://dx.doi.org/10.2139/ssrn.2698728

Mengyi Xu (Contact Author)

Purdue University ( email )

610 Purdue Mall
West Lafayette, IN 47907
United States

University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR) ( email )

Level 6, Central Lobby (enter via East Lobby)
Australian School of Business Building
Sydney, New South Wales NSW 2052
Australia

Michael Sherris

UNSW Business School ( email )

Sydney, NSW 2052
Australia

Adam Wenqiang Shao

SCOR Global Life ( email )

92074 Paris La Defense Cedex
France

University of New South Wales - ARC Centre of Excellence in Population Ageing Research (CEPAR) ( email )

CEPAR, Level 3
East Wing, NICTA Building, UNSW
Sydney, New South Wales NSW 2052
Australia

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