Personalised drawdown strategies and partial annuitisation to mitigate longevity risk

Wen Chen; Aaron Minney; Peter Toscas; Bonsoo Koo; Zili Zhu; Athanasios A. Pantelous

doi:10.1016/j.frl.2020.101644

Personalised drawdown strategies and partial annuitisation to mitigate longevity risk

Wen Chen, Aaron Minney, Peter Toscas, Bonsoo Koo, Zili Zhu, Athanasios A. Pantelous^*

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

Despite the importance of drawdown strategies under a defined contribution system with increased longevity risk, little guidance to retired and retiring members has been forthcoming from superannuation funds. This paper provides a do-it-yourself drawdown design for members of superannuation funds along with comparison studies on a range of retirement income strategies under an array of realistic scenarios. A stochastic economic scenario generator is used to simulate the uncertain outcomes of different drawdown strategies during retirement. The impact of annuitisation for mitigating longevity risk under government pension rules and the selection of personalised drawdown and annuitisation strategies for retirement are examined.

Original language	English
Article number	101644
Number of pages	10
Journal	Finance Research Letters
Volume	39
Early online date	12 Jun 2020
DOIs	https://doi.org/10.1016/j.frl.2020.101644
Publication status	Published - Mar 2021

Keywords

Annuitisation
Drawdown strategy
Economic scenario generator
Longevity risk
Retirement income
Superannuation

Access to Document

10.1016/j.frl.2020.101644

Cite this

@article{970c027db1134675ad327453354628ba,

title = "Personalised drawdown strategies and partial annuitisation to mitigate longevity risk",

abstract = "Despite the importance of drawdown strategies under a defined contribution system with increased longevity risk, little guidance to retired and retiring members has been forthcoming from superannuation funds. This paper provides a do-it-yourself drawdown design for members of superannuation funds along with comparison studies on a range of retirement income strategies under an array of realistic scenarios. A stochastic economic scenario generator is used to simulate the uncertain outcomes of different drawdown strategies during retirement. The impact of annuitisation for mitigating longevity risk under government pension rules and the selection of personalised drawdown and annuitisation strategies for retirement are examined.",

keywords = "Annuitisation, Drawdown strategy, Economic scenario generator, Longevity risk, Retirement income, Superannuation",

author = "Wen Chen and Aaron Minney and Peter Toscas and Bonsoo Koo and Zili Zhu and Pantelous, {Athanasios A.}",

year = "2021",

month = mar,

doi = "10.1016/j.frl.2020.101644",

language = "English",

volume = "39",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier",

}

TY - JOUR

T1 - Personalised drawdown strategies and partial annuitisation to mitigate longevity risk

AU - Chen, Wen

AU - Minney, Aaron

AU - Toscas, Peter

AU - Koo, Bonsoo

AU - Zhu, Zili

AU - Pantelous, Athanasios A.

PY - 2021/3

Y1 - 2021/3

N2 - Despite the importance of drawdown strategies under a defined contribution system with increased longevity risk, little guidance to retired and retiring members has been forthcoming from superannuation funds. This paper provides a do-it-yourself drawdown design for members of superannuation funds along with comparison studies on a range of retirement income strategies under an array of realistic scenarios. A stochastic economic scenario generator is used to simulate the uncertain outcomes of different drawdown strategies during retirement. The impact of annuitisation for mitigating longevity risk under government pension rules and the selection of personalised drawdown and annuitisation strategies for retirement are examined.

AB - Despite the importance of drawdown strategies under a defined contribution system with increased longevity risk, little guidance to retired and retiring members has been forthcoming from superannuation funds. This paper provides a do-it-yourself drawdown design for members of superannuation funds along with comparison studies on a range of retirement income strategies under an array of realistic scenarios. A stochastic economic scenario generator is used to simulate the uncertain outcomes of different drawdown strategies during retirement. The impact of annuitisation for mitigating longevity risk under government pension rules and the selection of personalised drawdown and annuitisation strategies for retirement are examined.

KW - Annuitisation

KW - Drawdown strategy

KW - Economic scenario generator

KW - Longevity risk

KW - Retirement income

KW - Superannuation

UR - http://www.scopus.com/inward/record.url?scp=85086571756&partnerID=8YFLogxK

UR - http://purl.org/au-research/grants/arc/LP160101038

U2 - 10.1016/j.frl.2020.101644

DO - 10.1016/j.frl.2020.101644

M3 - Article

AN - SCOPUS:85086571756

SN - 1544-6123

VL - 39

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101644

ER -

Personalised drawdown strategies and partial annuitisation to mitigate longevity risk

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this