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Trade-Offs in Means Tested Pension Design

  • Chung Tran

    ()

    (Research School of Economics, Australian National University and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

  • Alan Woodland

    ()

    (School of Economics and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

This paper proposes and assesses consistent multi-factor dynamic ane mortality models for longevity risk applications. The dynamics of the model produce closed-form expressions for survival curves. The framework includes an arbitrage free model specication. Importantly, the mortality model provides consistent future survival curves with the same parametric form as the initial curve.

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File URL: http://cepar.edu.au/media/48739/Trade-Offs%20in%20Pension%20Design.pdf
File Function: First version, 2011
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Paper 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 201110.

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Length: 37 pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:asb:wpaper:201110
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