Pith Number

pith:Q4XMWJJV

pith:2026:Q4XMWJJVMQFFWIEJDK2DPSWZ7B

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Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population

Caroline Hillairet, Jennifer Alonso-Garcia, Mohamed Mrad, Sarah Kaakai

Optimal investment and pension policies in Pay-As-You-Go systems with buffer funds are derived in closed form using forward CRRA utilities.

arxiv:2605.12698 v2 · 2026-05-12 · q-fin.MF · math.OC · math.PR

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Claims

C1strongest 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.

C2weakest 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.

C3one 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.

References

46 extracted · 46 resolved · 0 Pith anchors

[1] The journal of finance , volume= 2002

[2] Discounting and intergenerational equity , author=. 2013 , publisher= 2013

[3] Annals of Applied Probability , pages= 1999

[4] SIAM Journal on Financial Mathematics , volume= 2010

[5] Econometrica: Journal of the Econometric Society , pages= 1960

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-05-18T03:09:49.740143Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

872ecb2535640a5b20891ab437cad9f85eca8a3bf9eb78f1a130ff1c8fe5ae80

Aliases

arxiv: 2605.12698 · arxiv_version: 2605.12698v2 · doi: 10.48550/arxiv.2605.12698 · pith_short_12: Q4XMWJJVMQFF · pith_short_16: Q4XMWJJVMQFFWIEJ · pith_short_8: Q4XMWJJV

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/Q4XMWJJVMQFFWIEJDK2DPSWZ7B \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: 872ecb2535640a5b20891ab437cad9f85eca8a3bf9eb78f1a130ff1c8fe5ae80

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "5d87cfcbf2f3d641df4cbad86ffd5182f52279d45c592285038b4ce620b35616",
    "cross_cats_sorted": [
      "math.OC",
      "math.PR"
    ],
    "license": "http://creativecommons.org/licenses/by-nc-nd/4.0/",
    "primary_cat": "q-fin.MF",
    "submitted_at": "2026-05-12T19:49:07Z",
    "title_canon_sha256": "b7974bf0e97ba67acd73b6967608468955e916f13023ec21159c910c8b7205d7"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.12698",
    "kind": "arxiv",
    "version": 2
  }
}