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Managing reputational risk in the decumulation phase of a pension fund

Author

Listed:
  • Boado-Penas, M. Carmen
  • Brinker, Leonie V.
  • Eisenberg, Julia
  • Korn, Ralf

Abstract

In this paper, we suggest strategies for a pension provider to avoid a loss of reputation due to possible pension reductions in the decumulation phase. In different settings, we determine optimal actions to keep the pension plan solvent, i.e. value of the assets always above the net present value of the pension liabilities. With this in mind, we solve suitable singular control problems. We show that, in expectation, the pension provider can cover the costs of the optimal action via sharing bonus payments with the policyholders.

Suggested Citation

  • Boado-Penas, M. Carmen & Brinker, Leonie V. & Eisenberg, Julia & Korn, Ralf, 2023. "Managing reputational risk in the decumulation phase of a pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 52-68.
    • Handle: RePEc:eee:insuma:v:109:y:2023:i:c:p:52-68
    DOI: 10.1016/j.insmatheco.2022.12.005
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    References listed on IDEAS

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    More about this item

    Keywords

    Pensions; Collective Investment; Risk; Retirement phase; Reputational risk; Stochastic control;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G52 - Financial Economics - - Household Finance - - - Insurance
    • J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

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