4 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…