English, Article, Journal or magazine article edition: Longevity Risk and Private Pensions Pablo Antolín

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Bookmark: http://trove.nla.gov.au/version/87224
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Longevity Risk and Private Pensions
Author
  • Pablo Antolín
Physical Description
  • preprint
Notes
  • 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 privéesCet 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...
  • demographic trends and forecasts, retirement, private pensions, pensions privées, plans de pensions à prestation définie, mortalité et l'espérance de vie, tableaux de survie, risque de longévité, modèle Lee-Carter, simulation Monte Carlo, histogrammes, prévisions démographiques, defined benefit pension plans., mortality and life expectancy, life tables, longevity risk, Lee-Carter models, Monte Carlo methods, histograms
  • RePEc:oec:dafaab:3-en
Language
  • English
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