  In a collectivised pension fund, investors agree that any money remaining in
the fund when they die can be shared among the survivors.
  We give a numerical algorithm to compute the optimal investment-consumption
strategy for an infinite collective of identical investors with exponential
Kihlstrom--Mirman preferences, investing in the Black--Scholes market in
continuous time but consuming in discrete time. Our algorithm can also be
applied to an individual investor.
  We derive an analytic formula for the optimal consumption in the special case
of an individual who chooses not to invest in the financial markets. We prove
that our problem formulation for a fund with an infinite number of members is a
good approximation to a fund with a large, but finite number of members.
