This thesis examines an intergenerational risk sharing procedure of a pension plan which is based on (Chen et al., 2021). This pension plan is a collective defined contribution plan, i.e. contributions are fixed beforehand and all generations invest into a common asset. The liabilities are updated based on the ratio between assets and liabilities. The strength of adaption is governed by a risk sharing parameter θ. The asset of the pension plan is modelled by a risky asset that follows a Geometric Brownian Motion and a riskless asset. This model framework allows us to simulate future returns. An optimization procedure is implemented that aims to maximize expected utility from future returns by adjusting the constant proportion invested into the risky asset and the risk sharing parameter. While the optimal proportion invested into the risky asset declines for a rougher market environment or increasing risk aversion, the risk sharing parameter cannot be determined in a meaningful way. The model is extended by changing the utility function, and time discounting and by introducing a different dependence structure for the updating of liabilities based on the ratio between assets and liabilities. Again, the optimal proportion invested into the risky asset shows the above properties while a sensible estimate for the risk sharing parameter cannot be provided. After introducing an inflation rate, the decision maker aims, in general, to balance the decline in real returns by increasing the proportion invested into the risky asset. When applying the proposed pension plan to historical data from the United States and Germany, the pension plan fails to compensate inflation in the US but provides additional return in Germany. Introducing a mechanism that reallocates wealth more strongly between generations of the pension plan, e.g. by a buffer account, could improve the pension plan with regards to intergenerational risk sharing.     «

This thesis examines an intergenerational risk sharing procedure of a pension plan which is based on (Chen et al., 2021). This pension plan is a collective defined contribution plan, i.e. contributions are fixed beforehand and all generations invest into a common asset. The liabilities are updated based on the ratio between assets and liabilities. The strength of adaption is governed by a risk sharing parameter θ. The asset of the pension plan is modelled by a risky asset that follows a Geometr...     »