Benefit volatility-targeting strategies in lifetime pension pools (Q6607485)

The authors consider lifetime pension pools that allow retirees to convert a lump sum into lifelong income, with payouts linked to investment performance and the collective mortality experience of the pool. The study aims to investigate volatility-targeting strategies for both investment and mortality risks, offering a solution that keeps the risk associated with benefit variation as constant as possible through time.\N\NSpecifically, the authors derive a new asset allocation strategy that targets both investment and mortality risks, and provide insights about it. Practical investigations of the strategy demonstrate the effectiveness and robustness of the new dynamic volatility-targeting approach, ultimately leading to enhanced lifetime pension benefits.