Before you retire they are part of your estate. When you retire they are used to buy an 'Annuity', which is your pension. When you die (no souse etc) the company you bought it from pockets the any left over money, or if you live to a ripe old age they take the hit on the loss!
This is why long term many people like to have their 'pension' in property. It brings in an income and when you die you can leave it to your children.