Longevity Risk Management: Designing Pension Solutions

As life expectancy rises, retirement systems face longevity risk, where individuals may outlive their savings. This thesis develops innovative pension solutions to manage longevity risk and enhance retirement security. I use actuarial and statistical methods to design an improved annuity-based retirement income product that optimally shares risk between policyholder and insurer, and adapts to time-varying risk preferences. I also examine pension-linked housing policies, where individuals can use their retirement savings for homeownership, thereby supporting wealth accumulation. I develop a stochastic life-cycle model, calibrated to Australian data yet globally applicable, to evaluate policy trade-offs and guide resilient pension system design.