Retirement and financial risk.

Summary The first chapter examines the long-term statistical characteristics of financial returns in France and the United States. The properties of the different assets show that, in the long run, equities provide a significantly lower risk. Moreover, the mean-reversion properties of equities justify their use in a life-cycle strategy as a "default option" for retirement savings plans. Chapter Two provides an explanation for the debate over the efficient market hypothesis. The cause of the debate is often attributed to small sample sizes and the low power of dedicated statistical tests. In order to circumvent this problem, we use the approach developed by Campbell and Viceira (2005) who use a VAR method to highlight the existence of mean reversion in risky asset prices.The third chapter evaluates the speed of convergence of stock prices. A classic way to characterize the speed of mean reversion is the "half-life". By comparing stock market indexes of four developed countries (the United States, the United Kingdom, France, and Japan) over the period 1950-2014, we establish a significant speed of convergence, with a half-life between 4.0 and 5.8 years.The final chapter presents the results of a model designed to study the interactions between demographics and pension plans. In order to study the risks inherent in using capital income to finance pensions, we use a "Trending OR process" instead of a classical MBG to model returns. For a risk-averse investor, the market could compete with pay-as-you-go schemes.