When the financial positions of pension funds worsen, regulations prescribe that pension funds reduce the gap between their assets (invested contributions) and their liabilities (accumulated pension promises). Rather, it increases the expected return to the workers' contributions. One of the main results of the paper is that better intergenerational risk-sharing does not reduce the risk born by each generation. We estimate that the certainty equivalent return of the pension saving scheme goes from 3.23% per year to 3.76% when intergenerational risk-sharing is introduced. Second, we measure the social surplus of the system compared to a situation in which each generation would save and invest in isolation for its own retirement. We examine both the first-best rules and the second-best rules, where, in the latter case, the fund is constrained by a solvency constraint and by a guaranteed minimum return to workers' contributions. First, we characterize the socially efficient policy rules of a collective pension plan in terms of portfolio management, capital payments to retirees, and dividend payments to shareholders. In addition to the primary benefit of improved time-diversification, this form of risk allocation affords the additional benefit of allowing these funds to take better advantage of the equity premium, which also favors the consumers. By using their financial reserves efficiently, pension funds can smooth shocks on their asset returns, and can thus facilitate intergenerational risk-sharing.