Rentes en cours de service : un nouveau crit\`ere d'allocation d'actif

TL;DR

This paper compares two asset allocation strategies for pension schemes during decumulation, focusing on ruin probability and economic capital, considering deterministic and stochastic mortality risks, and inflation indexation effects.

Contribution

It introduces a comparative analysis of asset allocation criteria during pension decumulation, incorporating stochastic mortality risk and inflation indexation effects.

Findings

Ruin probability and economic capital lead to different asset allocations.

Stochastic mortality risk significantly impacts asset allocation decisions.

Inflation indexation influences optimal asset allocation strategies.

Abstract

The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The two asset allocation criteria are the ruin probability of the insurance company and the optimization of the economic capital. We first solve the asset allocation problem with deterministic pension payments then with stochastic mortality risk. We analyze the part of mortality risk in the global risk of the company. Then we show the impact of the indexation of the pensions to the inflation on the asset allocation.