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DTSTART:20260329T010000
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DTSTART;TZID=Europe/Helsinki:20260521T110000
DTEND;TZID=Europe/Helsinki:20260521T120000
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SUMMARY:Jennifer ALONSO GARCIA  (Université Libre de Bruxelles) "Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population"
DESCRIPTION:Actuariat et Risque Contemporains\nTime : 11h00 – 12h00 \nDate : 21th May 2026 \nRoom 3001 \n  \nJennifer ALONSO GARCIA (Université Libre de Bruxelles) “Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population” \nAbstract: 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.  \nJoint work with C. Hillairet\, S. Kaakai\, M. Mrad.  \nOrganisateurs : Hillairet Caroline\, Olivier Lopez \n  \n
URL:https://crest.science/event/jennifer-alonso-garcia-universite-libre-de-bruxelles-optimal-investment-and-pension-policy-in-pay-as-you-go-systems-under-forward-utility-and-ageing-population/
CATEGORIES:Actuariat et Risques Contemporains,Finance-Insurance,Seminars
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