Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes
AbstractGroup Self-annuitisation Schemes (GSAs), or Pooled Annuity Schemes, are designed to share uncertain future mortality experience including systematic improvements. They have been proposed because of the significant uncertainty of future mortality improvement on pension and annuity costs. The challenges for designing group pooled schemes include the decreasing average payments when mortality improves significantly, the decreasing numbers in the pool at the older ages and the dependence of systematic mortality improvements across different ages of members in the pool.
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Bibliographic InfoPaper provided by ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales in its series Working Papers with number 201104.
Length: 28 pages
Date of creation: Mar 2011
Date of revision:
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Group self-annuitisation; pooled annuity; longevity risk; extreme value distribution; Gompertz-Makeham mortality;
Find related papers by JEL classification:
- D02 - Microeconomics - - General - - - Institutions: Design, Formation, and Operations
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies
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