PEER-REVIEWED JOURNAL ARTICLES
19. Alonso-Garcia, J., Thirurajah, S. & Ziveyi, J. (2026) A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders. ASTIN Bulletin. FirstView. WP version. Also circulated as A hybrid variable annuity contract embedded with living and death benefit riders.
18. Alonso-García, J., Boado-Penas, M. C., & Eisenberg, J. (2026). Assessing public pensions using risk measures: pay-as-you-go versus mixed schemes. Scandinavian Actuarial Journal, 2026(2), 195–221. WP version. Also circulated as Assessing Public Pensions Using Ruin Probability: Pay-As-You-Go versus Mixed Schemes, Guaranteeing the unsustainable: A framework for mixed pension schemes.
17. Morsomme, H., Alonso-García, J. & Devolder, P. (2025) Intergenerational risk sharing in pay-as-you-go pension schemes. Scandinavian Actuarial Journal, 2025(4), 404–432. WP version
16. Delbrouck, C., Alonso-García, J. (2024) COVID-19 and Excess Mortality: An Actuarial Study. Risks 2024, 12, 61. (Open access). An earlier version of this work was presented at the Society of Actuaries 2023 Living to 100 conference in Orlando, Florida, 16–18 January 2023, and Kowloon, Hong Kong, 16 February 2023.
15. Alonso-García, J., Sherris, M., Thirurajah, S. & Ziveyi, J. (2024) Taxation and Policyholder Behavior: The Case of Guaranteed Minimum Accumulation Benefits. ASTIN Bulletin, 54(1), 185–212. Also circulated as Incorporating taxation in the valuation of variable annuity contracts: the case of the guaranteed minimum accumulation benefit. WP version
14. Xu, M., Alonso-García, J., Sherris, M. & Shao, A. W. (2023) Insuring longevity risk and long-term care: Bequest, housing and liquidity. Insurance: Mathematics & Economics Volume 111, July 2023, Pages 121-141. Winner of the ICA 2018 International Actuarial Association Health Section (IAAHS) Section Best Paper Award. Also circulated as Demand For Annuities and Long Term Care Insurance with Recursive Utility: Impact of Housing and Housing, Long-Term Care Insurance, and Annuities with Recursive Utility. WP version
13. de Mol van Otterloo, S., Alonso-García, J. (2023) A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands. Scandinavian Actuarial Journal Volume 2023, 2023 – Issue 3. WP version
12. Alonso-García, J., Bateman, H., Bonekamp, J., van Soest, A. & Stevens, R. (2022) Saving Preferences after Retirement. Journal of Economic Behavior and Organization 198, pp.409-433. ICA 2018 Best Paper Award in Aspects of Long-Term Savings: Uncertainty in Low Real Returns, Longevity and Inflation. Also circulated as A Cross Country Study of Saving and Spending in Retirement, Saving Preferences in Retirement: The Impact of Pension Policy Design and Health Status and Saving Preferences in Retirement: The Impact of Mandatory Annuitization, Flexibility and Health Status. WP version
11. Jijiie, A., Alonso-García, J., & Arnold (-Gaille) (2022) Mortality by socio-economic class and its impact on the retirement schemes: How to render the systems fairer?. European Actuarial Journal. Volume 2022, 701–743 (Open access). Also circulated as When to retire? Optimizing retirement age when socio-economic differences are considered WP version
10. Zittersteyn, G., Alonso-García, J. (2021) Common Factor Cause-Specific Mortality Model. Risks 2021, 9(12), 221 (Open access). WP version
9. Alonso-García, J., Rosado-Cebrián, B. (2021) Financial crisis and pension reform in Spain: the effect of labour market dynamics. Journal of Economic Policy Reform Volume 24, 2021 – Issue 2 (Open access). WP version
8. Alonso-García, J., Bateman, H., Bonekamp, J. & Stevens, R. (2021) Spending from regulated retirement drawdowns: The role of implied endorsement. Scandinavian Journal of Economics 123(3), 810–847. Also circulated as Retirement drawdown defaults: the role of implied endorsement. WP version
7. Alonso-García, J., & Devolder, P. (2019) Continuous time model for notional defined contribution pension schemes: liquidity and solvency. Insurance: Mathematics & Economics, 88, pp. 57-76. Also circulated as Liquidity and solvency in pay-as-you-go defined contribution pension schemes: a continuous OLG sustainability framework. WP version
6. Alonso-García, J., Sherris, M. (2019) One Size Fits All? Drawdown Structures in Australia and the Netherlands. The Journal of the Economics of Ageing, 13, pp. 14-27. Discussion by Lee Lockwood. WP version
5. Alonso-García, J., Boado-Penas, M. D. C., Devolder, P. (2018). Adequacy, Fairness and Sustainability of Pay-as-you-go Pension Systems: Defined Benefit versus Defined Contribution. European Journal of Finance 24:13, pp. 1100-1122. WP version
4. Alonso-García, J., Wood, O., Ziveyi, J. (2018). Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Quantitative Finance 18 (6), pp 1049-1075 . WP version
3. Alonso-García, J., Boado-Penas, M. D. C., Devolder, P. (2018) Automatic balancing mechanisms for Notional Defined Contribution Accounts in the presence of uncertainty. Scandinavian Actuarial Journal 2018 (2), pp. 85-108. WP version
2. Alonso-García, J., Devolder, P. (2016). Guarantee valuation in Notional Defined Contribution Pension systems. ASTIN Bulletin: The Journal of the IAA 46 (3), pp. 677-707. WP version
1. Alonso-García, J., Devolder, P. (2016). Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. Insurance: Mathematics and Economics, 70, 224-236. WP version
BOOK CHAPTERS
2. Holzmann, R., Alonso-García, J., Labit-Hardy, H. & Villegas, A. (2020) NDC schemes and heterogeneity in longevity: proposals for redesign. In: Holzmann R, Palmer E, Palacios R, Sacchi S (eds) Progress and challenges of nonfinancial defined pension schemes –volume 1: Addressing marginalization, polarization, and the labor market. The World Bank, Washington DC. Winner of the IAA Section Colloquium 2019 Pensions, Benefits and Social Security Section (PBSS) Section Best Paper Award. WP version
1. Alonso-García J. (2019) Pension Systems. In: Gu D., Dupre M. (eds) Encyclopedia of Gerontology and Population Aging. Springer, Cham. WP version
OTHER
3. Delbrouck, C., Alonso-García, J. (2024) COVID-19 and Excess Mortality: An Actuarial Study. 2023 Living to 100 Compendium.
2. Alonso-García, J. (2022). AAS Thematic issue: “Mortality: From Lee–Carter to AI”. Annals of Actuarial Science, 1-3.
1. Alonso-García, J. (2015). Notional (Non-Financial) Defined Contributions. Essays on Sustainability and Pension Adequacy. PhD Thesis.
WORKING PAPERS:
- Alonso-García, J., Hillairet, C., Kaakai, S., Mrad, M. (2026) Optimal Investment and Pension Policy in Pay-As-You-Go Systems under Forward Utility and ageing population. Working paper arXiv or SSRN.
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 evaluate the sustainability and benefit adequacy of this hybrid PAYG–buffer‑fund arrangement under a range of demographic, financial, and macroeconomic scenarios.
- Alonso-García, J., Garces, LPDM & Ziveyi, J. (2025) Variable Annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation. Working paper arXiv or SSRN
This paper investigates optimal withdrawal strategies and behavior of policyholders in a variable annuity (VA) contract with a guaranteed minimum withdrawal benefit (GMWB) rider incorporating taxation and a ratchet mechanism for enhancing the benefit base during the life of the contract. Mathematically, this is accomplished by solving a backward dynamic programming problem associated with optimizing the discounted risk-neutral expectation of cash flows from the contract. Furthermore, reflecting traded VA contracts in the market, we consider hybrid products providing policyholders access to a cash fund which functions as an intermediate repository of earnings from the VA and earns interest at a contractually specified cash rate. We contribute to the literature by revealing several significant interactions among taxation, the cash fund, and the benefit base update mechanism. When tax rates are high, the tax-shielding effect of the cash fund, which is taxed differently from ordinary withdrawals from the VA, plays a significant role in enhancing the attractiveness of the overall contract. Furthermore, the ratchet benefit base update scheme (in contrast to the ubiquitous return-of-premium specification in the literature) tends to discourage early surrender as it provides enhanced downside market risk protection. In addition, the cash fund discourages active withdrawals, with policyholders preferring to transfer the guaranteed withdrawal amount to the cash fund to leverage the cash fund rate.
- Bateman, H., Stevens, R., Alonso-García, J. & Ponds, E. (2018) Learning to Value Annuities: The Role of Information and Engagement CEPAR Working Paper 2018/17
Using an online experimental survey we investigate perception (in terms of understanding, riskiness and control) and valuation (elicited using iterative multiple price lists) of lifetime annuities relative to flexible drawdown products. We find that for those participants who are engaged with the experimental tasks, information provision and an online calculator can substantially reduce or eliminate behavioral drivers of the complex task of valuation of annuities.
WORK IN PROGRESS
- « Behavioral economics and the bequest motive in presence of illiquid savings »: with Hazel Bateman (UNSW Sydney) and Ralph Stevens (CPB, The Netherlands)
- « Indifference pricing of insurance-linked securities with market implied information »: with Yuhao Liu & Qihe Tang (UNSW Sydney)
- « Efficient decumulation strategy with long-term care insurance and guaranteed minimum death benefit »: with Mengdie Hu, Yuxin Zhou & Jonathan Ziveyi (UNSW Sydney)
- « Demystifying the Annuity Puzzle: A Behavioral Model »: with Yuxuan Lu, Yang Shen & Jonathan Ziveyi (UNSW Sydney)