退休金計畫依給付方式的設計，可以分為兩大體系：確定給付退休金計畫與確定提撥退休金計畫。無論是公共退休金計畫或是企業退休金計畫，最初實行時多採用確定給付的方式來實施。但隨著經濟環境的變遷，部份的國家與企業雇主，已開始傾向確定提撥方式的採用。本論文有鑑於退休金的改革潮流，欲探討確定提撥退休金計畫的實施回顧與給付的精算分析。 本論文分為四個主要部分，分別為：(1)確定提撥計畫的理論架構回顧；(2)主要國家制度的分析；(3)精算模型的建立與精算假設的分析；與(4)精算假設的給定與給付水準的模擬分析。在主要國家制度的回顧上，公共退休金計畫方面以新加坡「中央公積金制」與智利「公共退休金私有化」為探討的對象；在企業退休金計畫方面則以美國為討論對象。實證分析部分，則是先建立確定提撥退休金精算模型，再撰寫模擬程式介面，並以我國1998年「勞工退休金條例」草案為模擬對象，給定精算假設進行模擬，最後分析精算假設與模擬給付間的關係。 以台灣「勞工退休金條例」草案為例進行分析，其實證部分分為兩部分，先前給定平準的預定利率假設，而其他薪資成長率、通貨膨脹率、提撥率、開始工作提撥年齡、退休年齡、退休後各年存活率則根據台灣目前的經濟、就業環境給定；模擬結果發現， 6％合併提撥率無法達到模擬所給定50％-60％的退休後給付所得替代率；若將合併提撥率提高至12％以上，25歲開始工作65歲退休者才能累積足以支應適足所得替代率50％-60％的給付。 第二個模擬部份為給定利率時間序列的情境假設，在此給定簡單的七種利率情境假設，其他精算假設則同樣根據台灣的經濟環境給定之。模擬結果發現，若合併提撥率為9％，基金提撥累積期間40年，給付所得替代率對利率的變動敏感性高，只有在累積期間利率穩定成長的情形下，才能累積足夠的退休金，因此，可以表示9％的合併提撥率在其他非樂觀的利率情境假設下，無法達到50％-60的給付所得替代率。 略 / Due to population aging, the countries that operated their Social Security System on pay-as-you-go financial method have begun to encounter the solvency risk due to the growing financial burden. Since the defined contribution (DC) scheme is considered as a fully funded financial system, it could be one of the solutions to avert the upcoming financial crisis. Hence our study is motivated to investigate the current development of the DC scheme and scrutinize its financial adequacy on providing the retirement benefits to its plan participants. First, the features of current public pension programs in the form of the DC plan are surveyed and their progress is reviewed in Chapter 2. Practical applications applying the DC scheme in private sector are also compared and studied in Chapter 3. Secondly, the actuarial models of the proposed DC scheme are built to investigate the adequacy of the retirement benefits in Chapter 4. Computer codes that can be used to simulate the income-replacement ratios by giving the actuarial assumptions are programmed. Based on this approach, the relationship between income-replacement ratios and the actuarial assumptions (i.e., the interest rate, the salary increase and the inflation rate) can be obtained. In Chapter 5, sensitivity analyses of the benefit adequacy through computer simulations incorporating possible scenarios are performed. The recent proposal of reforming Taiwan Employee Retirement Income Security Act (TERISA) is investigated. An explicit actuarial model closely following this proposal is built to study its impact on the retirement benefits. Finally the empirical results based on this study are summarized. Based on the scenarios under the current economic perspectives, we found the contribution rate at 6% can not attain the income-replacement ratio at 50%. Only over certain optimal interest rates, the retiree can receive the projected income-replacement ratio given the contribution rate at 9%. Based on the proposed draft in reforming the benefit scheme, the retirement benefits are not sufficient to achieve the income-replacement ratio at 50% unless the contribution rates increase to 12%.

本文採用LIBOR市場利率模型評價確定提撥制退休金計畫所附之收益率保證，此保證收益率連結至隨機LIBOR市場利率，在相關的文獻上(特別在隨機利率方面)，尚未有相關的研究。本文同時考慮兩種保證型態：到期日保證與多期保證，運用平賭過程理論，在延伸之LIBOR市場利率模型(ELMM)下推導此兩種保證的理論公式解。相較於其他利率模型或HJM模型，採用ELMM所推得之評價公式更適合於實務運用。為供實務運用，文中並探討如何進行參數校準，亦進行蒙地卡羅模擬以驗證模型理論解的準確性。 / We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Calibration procedures are also discussed for practical implementation. Monte Carlo simulation is provided to evaluate the accuracy of the theoretical results.

世界各國人口結構持續改變，高齡化社會正逐漸成形，退休金制度的良窳已成為一國人口未來福利是否受到保障的最關鍵因素。各國政府勞退制度之改革最普遍的就是推動以「確定給付制」改為「確定提撥制」。我國勞工退休金政策亦於2005年7月正式實施勞工退休金新制，以「個人退休金專戶」為中心的「確定提撥制」逐漸取代「確定給付制」之勞退舊制。惟與其他國家最大不同是我國退休基金的管理與運用乃由政府統籌辦理，屬於集中管理模式；反觀先進國家勞工退休金其會員則可依個人風險承擔程度自由選擇投資不同類型退休基金，故自我國勞退新制實施以來，勞工是否傾向自行決定退休金運用方式就值得探討。然2008年金融海嘯發生，勞退基金首次發生虧損，勞工退休金開放自行選擇投資組合是否依然可行？ 本研究之研究方法包括文獻分析法，藉由世界主要國家退休金制度的變革，了解國際間對於勞工自行選擇退休金運用方式之概況與趨勢發展，並比較主要各國運用方式，發現目前國際間採用確定提撥制的國家已多數可由勞工自行選擇退休基金方案；另外採行問卷調查，針對全國總工會之勞工代表與幹部以問卷方式調查其對勞工退休基金運用的看法，發現大部分工會代表在金融海嘯前後均傾向選擇自選，而在教育程度與年齡等變項發現達到顯著性之水準。爰依本研究結論，建議勞工主管單位，應研擬逐步開放的方式推行，且儘速使勞工依個人風險承擔程度，自由選擇不同類型退休基金，並適時給予所需之教育訓練。 / The structure of the world population continues to change; an aging society is gradually taking shape. The virtue of the pension system has become the most critical factor in the future welfare of a country's population. The most of the world‘s governments labor pension system of reform is to promote the "defined benefit" to "defined contribution" system. The new labor pension policy in Taiwan was implemented in July 2005. The individual pension accounts "defined benefit" system was gradually replaced by "defined contribution". But the Taiwan's pension fund management belonging to the centralized management model; which was different with the other countries. On the other hand, other advanced countries, labor pension of its members can choose to invest in different types of pension funds according to personal risk degree of freedom. So the Taiwan’s labor whether the tendency to decide pension use since the implementation of the new labor fun system is worth exploring. In this study, literature analysis was used. We find the international workers to choose the pension use of profiles and the trends by reviewing change of the world's major national pension system. We also found that using defined contribution system in the world the pension fund program was chosen freely by the majority workers. In addition, by using the questionnaire survey of labor representatives and cadres of the China Federation of Trade Unions, we found that the majority of union representatives tend to select the optional before and after the financial tsunami. The level of education and age variables to reach a significant level. In accordance with these conclusions, we recommended that the labor unit in charge opening the way to implement should be developed gradually. To bear the degree of labor as soon as possible according to individual risk, freedom to choose different types of pension funds, and timely given the required training.

Abstract Authors:Stefan Harrå and Magnus Björk Advisor: Markku Penttinen Title: Accounting Consequences of the change in pension accounting Background to problem: When the revised IAS 19 comes into force January 1, 2013, it means that two of the three accounting principles for defined benefit pension plans are disappearing, including the corridor method. The corridor method has made it possible for companies to defer its actuarial gains and losses. Now that the corridor approach abolished then the unrecognized actuarial gains and losses immediately be covered by equity, which involves very large amounts of some companies. Why the amounts have grown so big is much because of the discount rate. The discount rate is a controversial parameter, and there is disagreement on how it should be fixed. Purpose: The purpose of this thesis is to examine the accounting implications this will have for the company applied the corridor method, and if there is some parameters in the actuarial assumption that is more important than others. Methodology: The thesis has mainly been based on a qualitative research through qualitative interviews with a small sample that is affected by this change. There are quantitative elements to a greater depth by examining the annual reports, discount and deferred pension liabilities of the various companies. The approach is exploratory as it is a qualitative study and there was little knowledge of the subject before the work of it started. Therefore, a study of literature, regulations and previous research before the empirical study. This made it possible to gain a broader understanding of the subject and to shape relevant and essential interview questions. Conclusions: The conclusion shows that the largest accounting consequences for the companies in the study in conjunction with the change is that the unrecognized actuarial gains and losses will now be covered by equity and that the expected return on plan assets is based on the discount rate. The study also shows that it is the discount rate which is considered the most important parameter that the companies are looking at in the actuarial assumption. The conclusion also provides a shared sense of the true and fair picture of the companies after the revised IAS 19. Suggestions for further research: That after 2013 to study how the actual result of this rule change did this compare to the expected. Look at the problem of determining the discount rate. How will the IASB look at it if more and more begin to deviate from the standard? Keywords: "IAS 19", "IAS 19 revised", "corridor method", "pension accounting", "pension liabilities", "defined contribution plans", "actuarial assumptions", "actuarial gains and losses" and "discount rate".

針對各國普遍面臨人口結構逐漸老化、退休人口增加問題，世界銀行曾提出應建立至少三層保障的養老制度之呼籲；而我國迄今尚未建構出一套全面性之老年經濟生活安全保障制度，現有退休制度係依國民職業身分作為區分基礎。近幾年政府財政日趨惡化，加以國內經濟景氣不佳，失業率節節升高，公務人員由於工作與薪資相對較為穩定，其退休給付亦較完備；因此，遂引起各界對公務人員退休給付及其條件之合理及公平性的諸多討論。而公務人員退撫基金管理良窳，除攸關公務人員退休權益，亦牽涉政府最後給付責任，在政府可用資源相對減少下，如何防範政治力介入，暨因應現有制度與管理上的若干缺失，避免未來發生嚴重財務危機，均為本研究之重點。 本研究採取文獻探討、比較研究法，並輔以德菲爾法（Delphi Method）、問卷調查等方法，就公平及管理角度檢視現行公務人員退休制度所存在之缺失及具體改進之道。研究結果發現大多數受訪者認為我國對老年經濟生活安全之保障，與個人從事職業別有很大關聯；除軍公教人員以外之其他職域與非工資勞動者的老年經濟生活保障普遍不足，故在制度比較上常衍生出差別性待遇公平性問題；而退撫基金經營決策又常有政治力介入，特別是政經情勢不穩定時，除非逐漸民營化，政府僅擔任監督者角色，否則既使修法明定政府干預、挪用基金等限制條文，只要仍維持現行制度精神，由政府管理，便很難防範政治力介入該基金之實際運作。 基此，本研究提出下述幾點建議：1.政府應致力提升其他職域（身分）人員之老年經濟生活安全保障；2.公務人員請領月退休金年齡條件應予以延後，並適度降低現行給付水準；3.研議增訂彈性退休規定，並研酌展期年金及減額年金之可行性；4.宜朝向「確定給付制」兼採「確定提撥制」混合制方向發展，並逐步提高「確定提撥制」比例及採個人退休金帳戶制；5.修法明確規範退撫基金提撥率之調整機制，以健全基金財務結構；6.宜逐步增加退撫基金國外投資配置比例；7.應研酌未達法定最低收益由國庫補足差額之規定，以免否對資產長期配置造成扭曲；8.對於有價證券之投資應改採市價法評價，以反映基金資產真實價值；9.加強退撫基金財務資訊公開，以利全體投保人之監督；10.現行基金管理與監理組織，可研酌精簡合併為一獨立專業監理機關。11.修法使退撫基金經營管理趨向私有化與自由化。 / To confront the ever growing ageing trend and consequent retirement tide, the World Bank has contended three pillars of old age security over the past few years. The ROC government, however, has not yet launched a national pension scheme to ensure the elderly economic security so far although the Plan has been worked out for some time. The country is currently adopting a retirement system based on people’s occupation. Civil servants all along enjoy relatively sound and stabilized retirement benefits even under the aggravating financial difficulties and the economy recession. Together with the increasing unemployment rate, this phenomenon has augmented a great deal of discussion with regard to its fairness. In addition, since the government has played significant role in terms of Pension Fund Management, how to prevent political intervention and avoid mismanagement particularly during economic crisis certainly deserve close scrutiny. In light of the aforementioned, this study, based on literature review, survey, and Delphi, focuses on the fairness and management perspectives of the existing pension system for civil servants. It is found that most interviewees agree that civil servants comparatively enjoy better retirement benefits than the rest of the population since the current pension system has been designed on occupational basis. It is further observed by the interviewees that political intervention does exist in terms of Pension Fund Management especially during economic recession. It is thus harbored that perhaps only through “privatization”, such intervention can come to its stop. The study, among other things, suggests the followings: 1.A national pension scheme covering all people is required. 2.Postponing the age of receiving annuity from the current 50 to a later age and reasonably cutting off some civil servants’ pension benefits need to be addressed. 3.Adding flexibility to current civil servants’ retirement system is worth pondering. 4.Working out a system blending together “defined benefit” and “defined contribution” in which the proportion of “defined contribution” should be gradually enlarged. Thoughts with regard to “individual account” should also be studied. 5.Adjusting the insurance fee for pension fund is necessary in order to ensure financial viability. 6.Bigger proportion of pension funds’ overseas investment should be allowed. 7.Investment in securities should be evaluated with market price to reflect the actual value of fund assets. 8.Pension funds management report should be released to the general public for supervision. 9.Professional pension fund supervision mechanism has to be established. 10.Law provisions as to privatize and liberalize the pension fund need to be worked out.

本文於確定提撥退休金制度下，探討基金經理人如何決定最適資產策略規避薪資所得及通貨膨脹之不確定風險，求得期末財富效用期望值極大化。本研究首先擴展Battocchio與Menoncin (2004)所建構之資產模型，我們不僅探討來自市場之風險，同時考量薪資所得、通貨膨脹與費用率之不確定性，研究其對最適資產配置行為的影響，建構隨機控制模型，以動態規劃方法求解Hamiltonian方程式，研究結果顯示，我們可利用五項共同基金分離定理來描述投資人之最適投資決策：短期市場基金、狀態變數避險基金、薪資所得避險基金、通貨膨脹避險基金與現金部位。數值結果顯示，股票持有部位中通貨膨脹避險基金佔有最大的成份，債券持有部位中通貨膨脹避險基金與狀態變數避險基金佔有最大的成份。 關鍵字：確定提撥、薪資的不確定性、通貨膨脹、隨機控制、動態規劃 / In this study, we investigate the portfolio selection problem in order to hedge the labor income and inflation uncertainties for defined contribution (DC) pension schemes. First, we extend the previous work of Battocchio and Menoncin (2004) that allowed the state variables (i.e., the risks from the financial market) and a set of stochastic processes to describe the inflation, labor income and expense uncertainties. A five-fund separation theorem is derived to characterize the optimal investment strategy for DC pension plans to hedge the labor income and the inflation risks. Second, by solving the Hamiltonian equation in the three-asset framework, we show that the optimal portfolio consists of five components: the myopic market portfolio, the hedge portfolio for the state variables, the hedge portfolio for the inflation risk, the hedge portfolio for the labor income uncertainty and the riskless asset. Then we explicitly solve the optimal portfolio problem. Finally, the numerical results indicate that the inflation hedge portfolio comprises the overwhelming proportion of stock holdings in the optimal portfolios. In addition, the inflation hedge portfolio and the state variable hedge portfolio constitute the overwhelming proportions of bond holdings. Keywords: defined contribution; salary uncertainty; inflation; stochastic control; dynamic programming.

現行各國的退休金計畫逐漸地由確定給付制轉變為確定提撥制。這表示投資的風險由原本退休金計畫的發起者(雇主)轉移到了參與者(員工)的身上。為了減少每個確定提撥制計畫參與者的投資風險，本文中採用退休時所得替代率為預估的目標，藉由模擬與最適化的方法找到最適投資策略與最適提撥率。 能反映出時間性的隨機模型在精算科學的領域是日漸重要，本文試著藉由隨機性的變化來估計代替以往精算上各種假設下所求得的負債。本文藉由隨機模擬的方式，得到各種資產在市場上或者是經濟上的價值來建構相關投資標的之報酬率，並利用動態隨機規劃模型去改善財務上避險以及資產負債管理。此外，為了避免模擬分析時間過長的問題，本文採用了情境抽樣的方法去改善電腦模擬分析計算時的效率。 我們主要得到以下結論： (一)確定提撥制下的負債受薪資水準波動的影響，所以此時會持有較 多的指數連結型債券以反應薪資水準及通貨膨脹的影響。整體投 資的結果與Vigna & Haberman (2001) 文中的結果及實務上生命 週期型態(lifestyle)投資方式呈現相同的現象。 (二)考慮每期下跌風險(downside risk)時，期中的投資可能會偏向 於投資風險較高的股票。在每年觀察下跌風險的情況下其投資因 為必須考慮避免每一年的下跌風險，需要比每五年觀察下跌風險 的情況做風險較大的投資，以達到其目標。 (三)在本文的調整投資組合策略下，因為調整次數不多，所以在考慮 交易成本的情況，當交易成本很小時對於整體的最適化資產配置 與最適化提撥率的影響是很小的。在本文的調整投資組合策略 下，交易成本的影響只有在交易成本非常大的情況下才能看得出 來。 (四)均勻抽樣法抽出的400組情境幾乎可以完全的代替4000組情境， 其結果可以看出與未抽樣相同的生命週期型態(lifestyle)投資 方式。而隨機抽樣法的結果雖然也可看出趨勢，但準確性相對於 均勻抽樣法仍稍嫌不足，並不適合用來代替原先的4000組情境。 / A shift from defined-benefit pension plan towards defined-contribution pension plan is currently popular around the world. This means that a serious investment risk transfers from defined-benefit sponsors to the individual members of defined-contribution plans. In order to reduce the risk of individual DC member, we investigate the methodology of finding the optimal contribution rate and asset allocation to reach a certain target of the retirement replacement rate in this paper. Stochastic processes are getting more important to the field of actuarial science. Instead of trying to approximate liabilities by a single deterministic set of actuarial assumption, we seek to take account of market or economic valuation for both assets and liabilities using stochastic simulation. We applied dynamic stochastic programming models to improve financial hedging and asset liability management. Moreover, in order to avoid the problem of time-consuming, we use scenario sampling method to improve the efficiency of computer calculation. We draw four conclusions from our investigations： (1)We will hold more assets in indexed-linked bonds because the pension liability is highly related to the wage- index and inflation rate. The optimal investment strategy is very like the so called "lifestyle" investment strategy. (2)When we consider downside risk, we should hold more risky equities. The investment strategy is more risky when we consider downside risk every year than every 5 years. (3)Under our rebalancing strategy, if the transaction cost is small, the influence on the investment strategy and contribution rate is small. We can see the influence of the transaction cost in a situation that the transaction cost is very big only. (4)There are almost no different between uniform sampling scenarios and original simulation scenarios, so uniform sampling scenarios may replace the original simulation scenarios perfectly. And random sampling method is unsuitable to replace the original simulation scenarios.

Asset allocation is the most influential factor driving investment performance. While researchers have made substantial progress in the field of asset allocation since the introduction of mean-variance framework by Markowitz, there is little agreement about appropriate portfolio choice for multi-period long horizon investors. Nowhere this is more evident than trustees of retirement plans choosing different asset allocation strategies as default investment options for their members. This doctoral dissertation consists of four essays each of which explores either a novel or an unresolved issue in the area of asset allocation for individual retirement plan participants. The goal of the thesis is to provide greater insight into the subject of portfolio choice in retirement plans and advance scholarship in this field. The first study evaluates different constant mix or fixed weight asset allocation strategies and comments on their relative appeal as default investment options. In contrast to past research which deals mostly with theoretical or hypothetical models of asset allocation, we investigate asset allocation strategies that are actually used as default investment options by superannuation funds in Australia. We find that strategies with moderate allocation to stocks are consistently outperformed in terms of upside potential of exceeding the participant’s wealth accumulation target as well as downside risk of falling below that target by very aggressive strategies whose allocation to stocks approach 100%. The risk of extremely adverse wealth outcomes for plan participants does not appear to be very sensitive to asset allocation. Drawing on the evidence of the previous study, the second essay explores possible solutions to the well known problem of gender inequality in retirement investment outcomes. Using non-parametric stochastic simulation, we simulate iv and compare the retirement wealth outcomes for a hypothetical female and male worker under different assumptions about breaks in employment, superannuation contribution rates, and asset allocation strategies. We argue that modest changes in contribution and asset allocation strategy for the female plan participant are necessary to ensure an equitable wealth outcome in retirement. The findings provide strong evidence against gender-neutral default contribution and asset allocation policy currently institutionalized in Australia and other countries. In the third study we examine the efficacy of lifecycle asset allocation models which allocate aggressively to risky asset classes when the employee participants are young and gradually switch to more conservative asset classes as they approach retirement. We show that the conventional lifecycle strategies make a costly mistake by ignoring the change in portfolio size over time as a critical input in the asset allocation decision. Due to this portfolio size effect, which has hitherto remained unexplored in literature, the terminal value of accumulation in retirement account is critically dependent on the asset allocation strategy adopted by the participant in later years relative to early years. The final essay extends the findings of the previous chapter by proposing an alternative approach to lifecycle asset allocation which incorporates performance feedback. We demonstrate that strategies that dynamically alter allocation between growth and conservative asset classes at different points on the investment horizon based on cumulative portfolio performance relative to a set target generally result in superior wealth outcomes compared to those of conventional lifecycle strategies. The dynamic allocation strategy exhibits clear second-degree stochastic dominance over conventional strategies which switch assets in a deterministic manner as well as balanced diversified strategies.

Made available in DSpace on 2009-11-18T19:00:59Z (GMT). No. of bitstreams: 0 Previous issue date: 2001 / o trabalho discute os fatores que condicionaram a migração de planos de beneficios entre os Fundos de Pensão localizados no Estado do Espírito Santo. O mais antigo modelo de plano de beneficios implantado no Brasil, o plano de beneficio definido, tem características bastante vantajosas aos participantes, pois as empresas patrocinadoras assumem os riscos de desequilíbrio do plano, e os beneficios futuros são assegurados aos participantes. O segundo modelo, mais recente no país, tem como característica principal o fato de que o participante assume os riscos do plano, e os beneficios futuros dependem de diversos fatores, como rentabilidade, tempo de participação, entre outros, deixando de existir garantia aos participantes. Apesar disso, os Fundos de Pensão tem implantado processos de migração de planos de beneficio definido para contribuição definida com sucesso. O texto procura identificar as razões e conseqüências da migração, estabelecendo correlações entre os dois modelos, identificando suas diferenças e semelhanças, o papel exercido pelas empresas patrocinadoras e a estratégia de convencimento dos participantes. Pretende-se que as reflexões sobre esse processo possam contribuir para que os Fundos de Pensão e outros pesquisadores interessados possam ter um nível maior de compreensão e fundamentação sobre o assunto. / This dissertation discusses the factors that have created the framework for the migration of the pension plans among the pension funds in the state of Espirito Santo. The first benefit plan model in Brazil, the defined benefit plan, has many advantages for the participant. Their risks are supported by the sponsor of the plan, and future benefits are assured to the participants. The second model, more recently introduced in the country, has its main point in the fact that participants have to bear the risks, and future benefits depend on many factors like the historical performance of the plan and time of participation, and there is no guaranty to the participants. Regardless these facts, pension funds have adopted successful processes for the migration from defined benefits plans to defined contribution plans. This text identifies reasons and consequences of those process of migration, establishing correlations, differences and similarities between the two models, and the role of the sponsors and their strategies in persuading the participants. We intend to raise questions upon this process, in order to contribute for a greater levei of comprehension of the issue.

La présente thèse s'intéresse à trois acteurs du financement des régimes de retraite : le législateur, l'assureur et l’individu. Dans un environnement en proie à un comportement déviant du marché financier et à des évolutions démographiques défavorables, le rôle de ces parties prenantes doit impérativement faire l’objet d’une réévaluation pour relever le défi de la pérennité du financement des retraites. L’étude de la règlementation et de la conception des régimes a été réalisée en intégrant des caractéristiques types du futur paysage des retraites, telles que le poids de plus en plus important du risque assumé par l’individu ou l’éventuelle participation d'investisseurs boursiers dans l’offre de contrats. Les conclusions de cette étude permettent de dégager des orientations en vue de la gestion du risque de longévité pour les individus, une évaluation de l’attrait de l’exposition au risque de longévité pour les investisseurs, des informations sur l’élaboration des contrats pour les assureurs ainsi que des propositions, pour les décideurs politiques, de mesures règlementaires favorisant la durabilité du paysage des retraites. / This dissertation examines three stakeholders in pension finance: the individual, the policymaker, and the pension provider (e.g., an insurer or a pension fund). In a setting beset by unforseen financial market circumstances and demographic changes that disfavor financial security in retirement, a re-evaluation of these stakeholders’ role is necessary. We explore the regulation and design of retirement plans by incorporating features that characterize the future retirement landscape, such as the increasing burden of risk borne by the individual, and the potential involvement of market investors in the provision of retirement contracts. The implications of our findings encompass guidance for individuals in managing longevity risk, evaluation of the appeal of longevity risk exposure to investors, insights on contract design for the insurer, and proposals to the policymaker on regulatory measures that foster a sustainable retirement environment.