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Longevity Risk and Private Pensions

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Author Info
Pablo Antolín

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Abstract

This paper examines how uncertainty regarding future mortality and life expectancy outcomes, i.e. longevity risk, affects employer-provided defined benefit (DB) private pension plans liabilities. The paper argues that to assess uncertainty and associated risks adequately, a stochastic approach to model mortality and life expectancy is preferable because it permits to attach probabilities to different forecasts. In this regard, the paper provides the results of estimating the Lee-Carter model for several OECD countries. Furthermore, it conveys the uncertainty surrounding future mortality and...

Risque de longévité et pensions privées
Cet article examine l'impact de l’incertitude concernant l'évolution de la mortalité et de l’espérance de vie (risque de longévité) sur le passif des fonds de pensions privés à prestations définies. Cet article soutient l'argument que, pour évaluer de manière adéquate cette incertitude et les risques associés, il est préférable de recourir à une approche stochastique pour l'établissement de projections de mortalité et d'espérance de vie afin de pouvoir associer des probabilités à des prévisions différentes. A ce sujet, le présent article présente les résultats de l'application simulée du modèle Lee-Carter à plusieurs...

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File URL: http://dx.doi.org/10.1787/261260613084
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Publisher Info
Paper provided by OECD, Directorate for Financial and Enterprise Affairs in its series OECD Working Papers on Insurance and Private Pensions with number 3.

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Date of creation: Jan 2007
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Handle: RePEc:oec:dafaab:3-en

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Related research
Keywords: defined benefit pension plans.; demographic trends and forecasts; histograms; Lee-Carter models; life tables; longevity risk; Monte Carlo methods; mortality and life expectancy; private pensions; retirement; histogrammes; modèle Lee-Carter; mortalité et l'espérance de vie; pensions privées; plans de pensions à prestation définie; prévisions démographiques; risque de longévité; simulation Monte Carlo; tableaux de survie;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends and Forecasts
J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies
J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Private Pensions

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  1. Ferro, Gustavo, 2008. "On annuities: an overview of the issues," MPRA Paper 15436, University Library of Munich, Germany, revised May 2009. [Downloadable!]
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This page was last updated on 2009-11-17.

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