Minimizing Payout Volatility in Longevity Risk-Sharing Pools

Targeting an acceptable level of payout volatility is one of the most important elements in the design of longevity risk-sharing pools. Naturally, the definition of "acceptable level" involves a quantification of investor risk capacity and risk tolerance. It is relatively easy to design pools with high payout volatility. Minimizing it is significantly more challenging.

To the extent that a pool's objective is to replace the benefits of a defined benefit plan or otherwise to deliver lifetime income that reliably maintains a retiree's standard of living, understanding how to minimize payout volatility is vital. Furthermore, in those countries with regulatory (and even constitutional!) requirements that govern the level of retirement plan payouts, this becomes absolutely critical.

Against this backdrop, Nuovalo is proud to announce that our paper titled, Minimizing Payout Volatility in Longevity Risk-Sharing Pools: An Asset-“Liability” Matching Approach has been accepted by the 21st International Conference on Pensions, Insurance, and Savings in Lisbon, Portugal from May 29–30, 2025. We are excited to discuss how payout volatility can be reduced substantially while continuously maintaining the fully funded status of the pool through advanced methods of fair longevity risk sharing and asset-liability management techniques. As always, we look forward to discussing our research in an academic setting with the goal of advancing the body of knowledge in the subject of longevity risk sharing pools.

Payout Efficient Frontier