Longevity Risk and Private Pensions

Pablo Antolín

Organisation for Economic Co-operation and Development

关键词: histograms;    longevity risk;    Lee-Carter models;    life tables;    mortality and life expectancy;    demographic trends and forecasts;    private pensions;    Monte Carlo methods;    defined benefit pension plans.;    retirement;   

DOI  :  https://doi.org/10.1787/261260613084

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

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...