Strategie di decumulo dei piani pensionistici: analisi delle tontine moderne e simulazione di un piano GSA

The main objective of this work is to examine some insurance products or retirement strategies that are alternatives to life annuities. Clearly, most European countries are facing major pension challenges and it is essential to identify innovative and sustainable solutions to ensure stable incomes for retirees. The thesis is organized as follows: Chapter 1 is mainly devoted to the analysis and description of decumulation strategies proposed in the literature; it is made up of 4 sections. The first one is dedicated to the introduction of pension schemes in general; the second one is devoted to the analysis of a survey conducted by Insurance Europe, regarding the importance of supplementary pension plans; the third one is reserved to the presentation of reforms introduced in the UK to overcome some important pension issues; finally in the fourth section decumulation strategies are explained. I will cover the analysis of many approaches, including: Utility theory-based methods, such as Expected Utility Theory and Cumulative Prospect Theory; techniques based on the minimization of the difference between current consumption and a desired consumption; probabilistic methods, such the minimization of the probability of ruin; habit formation approaches. Chapter 2 focuses completely on the explanation of modern tontines; each section is dedicated to a specific tontine proposed in the literature. Consistently, I submit the following proposals: the Group Self-Annuitization plan of Piggott et. al(2016), the Optimal Retirement Tontine of Milevsky and Salisbury (2016), the Fair Tontine Annuity of Sabin (2010), the Annuity Overlay Fund of Donnelly et. al (2014) and the Pooled Annuity Fund of Stamos (2008). Chapter 3 is entirely devoted to the simulation of a Group Self-Annuitization plan. Finally, Chapter 4 concludes.