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This paper proposes and investigates an optimal pair investment/pensionpolicy for a pay-as-you-go (PAYG) pension scheme. The social planner can investin a buffer fund in order to guarantee a minimal pension amount. The model aimsat taking into account complex dynamic phenomena such as the demographic riskand its evolution over time, the time and age dependence of agents preferences,and financial risks. The preference criterion of the social planner is modeledby a consistent dynamic utility defined on a stochastic domain, whichincorporates the heterogeneity of overlapping generations and its evolutionover time. The preference criterion and the optimization problem alsoincorporate sustainability, adequacy and fairness constraints. The paperdesigns and solves the social planner's dynamic decision criterion, andcomputes the optimal investment/pension policy in a general framework. Adetailed analysis for the case of dynamic power utilities is provided.

Time-consistent pension policy with minimum guarantee and sustainability constraint