I work on short-term contracts that are well-paid - however, not knowing how long I will be working on a job, I have got into the habit of 'making hay while the sun shines' and saving what I can to give long-term security and have been conscientiously putting money aside for the last 10 years (I am now 36).

In addition, with me and my wife coming from different countries, and us both living in a non-native country, we have very little clue where we will eventually settle down. 

As I am comfortable with saving/investing for the future myself, my question is: Should I instead be making full use of maximum pension allowances to get maximum tax relief and have this compounded over the years until official retirement age? From what I understand, once you eventually retire and take an annuity from your pension you are then taxed on it as income anyway?

Alternatively -as I have been planning- should I instead continue my disciplined saving/investments to diversify and build my net worth? This way, I could build on my savings/investments and -eventually- live off the interest (minus inflation) and take retirement. 

Considering that official retirement ages are slowly increasing around the world, I would ideally like to have the freedom to access my retirement income when it best suits me and my family....but would this 'freedom' would come with significant costs in terms of savings at retirement?