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There are two periods. The agent learns about her state at the beginning of period one. For each of the states there is a survival probability \\(\\pi_i\\). At the end of period one, the agent learns whether she survives or not. Depending on the state, there is a (maximal) consumption rate \\(y_1^i\\). In period two, the maximal consumption rate is \\(y_2^{i j}\\) with \\(y_2^{i 0} = 0\\) (the agent is dead) and \\(y_2^{i 1} > 0\\). There is a budget constraint that limits the expected outgo for pensions. The value of the chosen consumption is measured by a utility function \\(U(\\{(c_1^i,c_2^{i j})\\})\\). It is assumed that there are \\(N\\) states \\(i \\in \\{1,2,\\ldots, N\\}\\) chosen at the beginning of period one with equal probabilities. The problem becomes \\[ \\max_{(y_1^i, y_2^i)} \\max_{(c_1^i,c_2^{i j})} U\\left(\\left\\{(c_1^i,c_2^{i j})\\right\\}_{i ,j} \\right)\\;, \\] subject to \\[ c_1^i \\le y_1^i\\;,\\qquad c_2^{i1} \\le y_2^i + (1+r)(y_1^i - c_1^i)\\; \\]  \\[ \\frac1N \\sum_{i=1}^N \\Bigl(y_1^i + \\frac{\\pi_i y_2^{i 1}}{1+r}\\Bigr) \\le B\\;. \\] The function \\(U\\) should be increasing in each of the variables. Under the natural assumptions on \\(U\\), one gets \\(c_1^i = y_1^i\\), such that the optimisation problem becomes \\[ \\max_{(c_1^i,c_2^i)} U\\left(\\left\\{(c_1^i,c_2^i)\\right\\}_{i ,j} \\right)\\;, \\] subject to \\[ \\frac1N \\sum_{i=1}^N \\Bigl(c_1^i + \\frac{\\pi_i c_2^{i 1}}{1+r}\\Bigr) = B\\;. \\] Note that it is possible that the agent may prefer death after period one to a low consumption \\(c_1^{i 1}\\).  The preferences are now defined as \\(V_2^i = u_2\\) (in the final period) and \\(V_1 = u_1 + \\beta \\mathcal{I}(\\{V_2^i\\})\\) in the first period. The certainty equivalent \\(\\mathcal{I}\\) is assumed to be continuous, increasing, symmetric, translation equivalent and super-modular. \\(\\beta\\) is a time preference parameter and \\(u_k\\) are utility functions. Examples for the function \\(\\mathcal{I}\\) are \\(\\mathcal{I}(\\{V_2^i\\}) = N^{-1} \\sum V_2^i\\) or \\(\\mathcal{I}(\\{V_2^i\\}) = -k^{-1} \\ln (N^{-1} \\sum e^{-k V_2^i})\\) for some \\(k \\ne 0\\). Some basic properties are proved and an explicit example is 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