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Griselda Deelstra and Martino Grasselli and Pierre-François Koehl


Finance Group (2004) : Optimal Design of the Guarantee for Defined Contribution Funds




Optimal Design of the Guarantee for Defined Contribution Funds

Griselda Deelstra and Martino Grasselli and Pierre-François Koehl


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Journal of Economic Dynamics and Control

The question we solve is the optimal design of the minimum guarantee in a Defined Contribution Pension Fund Scheme. We study the investment in the financial market by assuming that the pension fund optimizes its retribution which is a part of the surplus, that is the difference between the pension fund value and the guarantee. Then we define the optimal guarantee as the solution of the contributor's optimization program and find the solution explicitly. Finally, we analyze the impact of the main parameters, and particularly the sharing rule between the contributor and the pension fund. We find that favorable sharing rules for the pension fund lead to conservative guarantees for the contributor: the sharing rule is a way to create a continuum between two extreme pension funding methods that are Defined Benefit and Defined Contribution Pension Schemes, and the sharing rule allows partial risk transfer between the contributor and the pension fund manager.

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.

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