{"paper":{"title":"Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population","license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","headline":"Optimal investment and pension policies in Pay-As-You-Go systems with buffer funds are derived in closed form using forward CRRA utilities.","cross_cats":["math.OC","math.PR"],"primary_cat":"q-fin.MF","authors_text":"Caroline Hillairet, Jennifer Alonso-Garcia, Mohamed Mrad, Sarah Kaakai","submitted_at":"2026-05-12T19:49:07Z","abstract_excerpt":"This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism. The social planner's preference criterion is represented by non-zero volatility forward Constant Relative Risk Aversion (CRRA) utilities, and explicitly accounts for both sustainability and adequacy constraints. The optimal policies are characterized in closed form, and an in-depth analysis of the impact of preference sensitivities on the pension scheme is conducted. A detailed numerical analysis is performed to eval"},"claims":{"count":4,"items":[{"kind":"strongest_claim","text":"The optimal policies are characterized in closed form, and an in-depth analysis of the impact of preference sensitivities on the pension scheme is conducted. A detailed numerical analysis is performed to evaluate the sustainability and benefit adequacy of this hybrid PAYG buffer fund arrangement under a range of demographic, financial, and macroeconomic scenarios.","source":"verdict.strongest_claim","status":"machine_extracted","claim_id":"C1","attestation":"unclaimed"},{"kind":"weakest_assumption","text":"The social planner's preference criterion is represented by non-zero volatility forward Constant Relative Risk Aversion (CRRA) utilities that explicitly account for both sustainability and adequacy constraints; this modeling choice may not capture real-world planner behavior or constraint enforceability.","source":"verdict.weakest_assumption","status":"machine_extracted","claim_id":"C2","attestation":"unclaimed"},{"kind":"one_line_summary","text":"Closed-form optimal investment and pension policies for hybrid PAYG systems with buffer funds are derived via non-zero volatility forward CRRA utilities, with numerical evaluation of sustainability and adequacy under demographic and economic scenarios.","source":"verdict.one_line_summary","status":"machine_extracted","claim_id":"C3","attestation":"unclaimed"},{"kind":"headline","text":"Optimal investment and pension policies in Pay-As-You-Go systems with buffer funds are derived in closed form using forward CRRA utilities.","source":"verdict.pith_extraction.headline","status":"machine_extracted","claim_id":"C4","attestation":"unclaimed"}],"snapshot_sha256":"ceb4edb788fb903b94faa9aaa8b389afc89966fdaa958194719347505a3282c4"},"source":{"id":"2605.12698","kind":"arxiv","version":2},"verdict":{"id":"f631468f-17c9-4581-8482-5a716d119303","model_set":{"reader":"grok-4.3"},"created_at":"2026-05-15T05:52:28.297986Z","strongest_claim":"The optimal policies are characterized in closed form, and an in-depth analysis of the impact of preference sensitivities on the pension scheme is conducted. A detailed numerical analysis is performed to evaluate the sustainability and benefit adequacy of this hybrid PAYG buffer fund arrangement under a range of demographic, financial, and macroeconomic scenarios.","one_line_summary":"Closed-form optimal investment and pension policies for hybrid PAYG systems with buffer funds are derived via non-zero volatility forward CRRA utilities, with numerical evaluation of sustainability and adequacy under demographic and economic scenarios.","pipeline_version":"pith-pipeline@v0.9.0","weakest_assumption":"The social planner's preference criterion is represented by non-zero volatility forward Constant Relative Risk Aversion (CRRA) utilities that explicitly account for both sustainability and adequacy constraints; this modeling choice may not capture real-world planner behavior or constraint enforceability.","pith_extraction_headline":"Optimal investment and pension policies in Pay-As-You-Go systems with buffer funds are derived in closed form using forward CRRA utilities."},"references":{"count":46,"sample":[{"doi":"","year":2002,"title":"The journal of finance , volume=","work_id":"5380701a-546e-4740-aac5-4fd567099707","ref_index":1,"cited_arxiv_id":"","is_internal_anchor":false},{"doi":"","year":2013,"title":"Discounting and intergenerational equity , author=. 2013 , publisher=","work_id":"c1bee82d-116c-46d0-a513-34d02e1426c8","ref_index":2,"cited_arxiv_id":"","is_internal_anchor":false},{"doi":"","year":1999,"title":"Annals of Applied Probability , pages=","work_id":"626713d9-6060-43e7-83d3-743b816e341e","ref_index":3,"cited_arxiv_id":"","is_internal_anchor":false},{"doi":"","year":2010,"title":"SIAM Journal on Financial Mathematics , volume=","work_id":"77723d8a-ef71-49ef-bbcf-4fa3ff87eda3","ref_index":4,"cited_arxiv_id":"","is_internal_anchor":false},{"doi":"","year":1960,"title":"Econometrica: Journal of the Econometric Society , pages=","work_id":"b02266f2-5890-4204-84dc-ffaf50d6b074","ref_index":5,"cited_arxiv_id":"","is_internal_anchor":false}],"resolved_work":46,"snapshot_sha256":"4a4bde4f375490a8ebea567b02f1d84490a02400801024f7f311773e72b98cdf","internal_anchors":0},"formal_canon":{"evidence_count":2,"snapshot_sha256":"7c72cb9984a18057fd5a1716afbbd4680af8245a5645e50371bda8035847a42a"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}