Published on June 6, 2024, this peer-reviewed study by Jean-François Bégin and Barbara Sanders introduces a dynamic volatility-targeting strategy for lifetime pension pools also known as group self-annuitization plans, pooled annuity funds, and retirement tontines. These innovative retirement vehicles convert lump sums into lifelong income, with payouts linked to both investment performance and the collective mortality experience of the pool. Unlike prior models that target investment risk alone, this research proposes a dual-risk framework that stabilizes benefit volatility by jointly managing market and longevity risks. Using high-frequency HAR volatility forecasts and advanced stochastic modeling, the strategy delivers more consistent payouts and proves robust across various pool sizes, death benefit settings, and practical constraints.
Benefit Volatility-Targeting Strategies in Lifetime Pension Pools
A dynamic asset allocation approach that stabilizes pension payouts by jointly managing investment and mortality risks.
Oct 7, 2025
Jean-François Bégin,
Barbara Sanders
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