Abstract: In order to cope with the impact of population aging on the pay as you go (PAYGO) pension system, various economies have proposed a coordinated development strategy of multi-pillar pensions. We observed heterogeneity in the allocation of PAYGO pension and funded pension among different economies, which contradicts the ‘Samuelson-Aaron’ criterion. This article establishes a Nash equilibrium between individual and government decision-making. Based on the government's PAYGO and funded pension contribution rates, individuals achieve maximum utility by selecting optimal consumption and individual savings. The government is fully aware of the feedback function of individuals and maximizes the utility of all individuals by selecting the optimal PAYGO and funded pension contribution rates. The results show that the preference order for pension schemes among working (future) cohorts and retirement cohort is heterogeneous, and is influenced by the exogeneous variables such as return efficiency of the pensions. Against the backdrop of aging population and slowing economic growth, a decrease in population growth rate or wage growth rate will weaken the relative return efficiency of PAYGO pension and lower its optimal contribution ratio. Meanwhile, increasing the investment return rate of funded pension and increasing tax incentives can help to improve its relative return efficiency as well as its contribution rate. Moreover, the gradual delayed retirement policy further highlights the advantage of funded pension in terms of relative return efficiency. The delayed retirement policy has also increased the retirement consumption level of individuals and enhanced their old-care efficiency.