Jingyu Zhu
Title: Fee Structures in lifetime pension pools
Date: April 29th 2026
Time: 3:30pm
Location: ASB 10920
Supervised by: Jean-Fran莽ois B茅gin
Abstract:
Lifetime pension pools aim to provide lifelong income by sharing longevity risk among participants, while benefit payments adjust over time with investment and mortality experience. Although these pooled designs can improve retirement income sustainability, their net value to retirees depends on the fees required to operate and manage the pool. This report studies how alternative fee designs influence welfare outcomes in an open-pool setting with stationary membership. Six fee structures are considered: one-time fixed, constant, constant rate, state-dependent, time-dependent, and high-water mark fees. Welfare is evaluated and summarized using equivalent constant benefits, which provide a common scale for comparing uncertain payout streams. Sensitivity analyses vary key financial assumptions to examine whether fee rankings are stable across plausible environments. In addition, a stylized portfolio setting is used to examine optimal allocations among a lifetime pension pool, a fixed life annuity, and drawdown-based strategies, providing further insight into the role of pooled retirement income within a diversified retirement plan.