Actuariat et Risque Contemporains
Time : 11h00 – 12h00
Date : 21th May 2026

Room 3001

Jennifer ALONSO GARCIA (Université Libre de Bruxelles) “Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population”

Abstract: This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk sharing mechanism. The social planner’s preference criterion is represented by non-zero volatility forward Constant Relative Risk Aversion (CRRA) utilities, and explicitly accounts for both sustainability and adequacy constraints. The optimal policies are characterized in closed form, and an in-depth analysis of the impact of preference sensitivities on the pension scheme is conducted. A detailed numerical analysis is performed to evaluate the sustainability and benefit adequacy of this hybrid PAYG–buffer fund arrangement under a range of demographic, financial, and macroeconomic scenarios.

Joint work with C. Hillairet, S. Kaakai, M. Mrad.

Organisateurs : Hillairet Caroline, Olivier Lopez