We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into a stream of retirement income. In particular, we compare the purchase at retirement age of a conventional life annuity (i.e., a bond-based...

This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. We investigate a model that incorporates three sources of risk: asset risk and salary (or labour-income) risk in the accumulation phase; and interest-rate risk at the point of retirement....

This paper investigates the estimation of long-term VaR. It also suggests a simple approach to the estimation of long-term VaR that avoids problems associated with the square-root rule for extrapolating VaR, as well as those associated with attempts to extrapolate day-to-day volatility forecasts...