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We study a fully funded, collective defined-contribution (DC) pension systemwith multiple overlapping generations. We investigate whether the welfare ofparticipants can be improved by intergenerational risk sharing (IRS)implemented with a realistic investment strategy (e.g., no borrowing) andwithout an outside entity (e.g., share holders) that helps finance the pensionfund. To implement IRS, the pension system uses an automatic adjustment rulefor the indexation of individual accounts, which adapts to the notional fundingratio of the pension system. The pension system has two parameters thatdetermine the investment strategy and the strength of the adjustment rule,which are optimized by expected utility maximization using Bayesianoptimization. The volatility of the retirement benefits and that of the fundingratio are analyzed, and it is shown that the trade-off between them can becontrolled by the optimal adjustment parameter to attain IRS. Compared with theoptimal individual DC benchmark using the life-cycle strategy, the studiedpension system with IRS is shown to improve the welfare of risk-averseparticipants, when the financial market is volatile.

Intergenerational risk sharing in a Defined Contribution pension system: analysis with Bayesian optimization