퇴직연금의 적정 인출방법과 자산 배분에 관한 연구

Abstract

The government has recently implemented reforms focusing on the accumulation phase of the retirement pension scheme, while discussions on improvements to the decumulation phase have been relatively inadequate. In this regard, this study analyzes the optimal asset allocation to maximize the utility of retirement pension withdrawal plans and compares and analyzes withdrawal plans based on utility, aiming to propose diversification of withdrawal methods in the retirement pension system. To achieve this, the study utilizes a utility function that considers both consumption utility and inheritance utility of retirees. The analysis shows the following results: Firstly, retirees should invest a minimum of 20% to a maximum of 100% of accumulated funds in risky assets, depending on the withdrawal strategy and bequest motivation, to maximize lifetime utility. Secondly, as withdrawal amounts and bequest motivations increase, the optimal allocation to risky assets also increases. Thirdly, while the strategy of purchasing annuities offers the advantage of generating stable cash flows throughout the lifespan, it ranks lower in terms of expected lifetime utility compared to other strategies due to the absence of bequest utility. Since lifetime utility varies depending on withdrawal strategies and asset allocation, the government needs to provide guidelines for withdrawal strategies to ensure retirees can sustain stable consumption.