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Faculty of Actuarial Science and Insurance Seminar with Dr Munir Hiabu
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Abstract:
In this talk I will present first results from the IFoA-sponsored research programme 'Minimising Longevity and Investment Risk while Optimising Future Pension Plans' through the Actuarial Research Centre (ARC). The Columbus’ egg in pension planning and financial advice has always been to make the pension-saver pick a financial investment strategy that matches his or her risk profile. We show that this can be done in a simple and direct manner.
The pension saver picks some worst-case bottom-level of future pension saving and at the same time some top-level of maximum return. We propose an underlying investment strategy having the same amount invested in the risky asset every year. It turns out that combining this simple strategy with a self-selected top-and-bottom gives almost as high expected economic utility as had one optimised a complicated personal pension strategy based on power-utility functions that the pension saver cannot understand and therefore cannot self-select. This first research output concentrates on the simple lump-sum case.
Where
Bayes Business School, 106 Bunhill Row
Room 2005
106 Bunhill Row, London EC1Y 8TZ, UK
Speakers
Munir Hiabu
Post Doctoral Research Fellow
Cass Business School
I am a Postdoctoral Research Fellow at Cass Business School, City, University of London.
The position is financed by an ARC grant of the Institute and Faculty of Actuaries (IFoA): “Minimising longevity and investment risk while optimising future pension plans”