6 papers
An ergodic theorem for multi-period mutual insurance
John Armstrong
Suppose there are heterogeneous agents in a market with idiosyncratic risks but no uninsurable systematic risk factors. These agents may agree arbitrary financial contracts wit…
Machine-learning a family of solutions to an optimal pension investment problem
John Armstrong, Cristin Buescu, James Dalby +1
We use a neural network to identify the optimal solutions to a family of pension investment problems, where the parameters determining an investor's risk and consumption preference…
A comparison of the effectiveness of alternative DC and CDC designs in a UK market
John Armstrong, James Dalby, Rohan Hobbs
We use three stochastic models to evaluate the effectiveness of a number of possible pension designs which have been proposed for use in the UK. We consider individual DC schemes f…
Intergenerational cross-subsidies in UK Collective Defined Contribution (CDC) funds
John Armstrong, James Dalby, Catherine Donnelly
We evaluate the performance and level of intergenerational cross-subsidy in flat-accrual and dynamic-accrual collective defined contribution (CDC) schemes which have been designed…
Optimal mutual insurance against systematic longevity risk
John Armstrong, James Dalby
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilit…
Optimal post-retirement investment under longevity risk in collective funds
John Armstrong, Cristin Buescu, James Dalby
We study the optimal investment problem for a homogeneous collective of individuals investing in a Black-Scholes model subject to longevity risk with Epstein--Zin preferences.…