Date: Friday, 16 October 2026, at 12.30pm (CET)

Dual format: ESSEC Paris La Défense (CNIT), Room 306
and via Zoom, please click here

The crisis of Pay as you go public pension schemes and the developments of fully funded pension plans motivate the study of efficient long term decumulation solutions after retirement age. In this context, pension funds and insurers are increasingly expected to offer lifetime annuity products that explicitly incorporate inflation protection. However, pricing and hedging these hybrid multi-cash-flow products is challenging. Since inflation-indexed annuities are simultaneously exposed to many financial risks (market and inflation risks) and longevity risks (systematic and idiosyncratic risks), we need a decomposition operator able to formally separate the hedgeable financial strategy from diversifiable and systematic financial and longevity risks, while ensuring a market–actuarial consistent valuation. In this paper, we propose a four-step decomposition method applicable to such hybrid life products, generalizing the two step and three step techniques already developed in the literature, in order to valuate and propose coherent risk management strategies. In particular, we show the influence of the available financial assets and the kind of hedging (mean-variance or quantile hedging) on the decomposed valuation.

Kind regards,
Pierre Alquier, Marie Kratz, and Riada Djebbar (Singapore Actuarial Society - ERM)