- Found In
- Financial Market Trends Vol. 2007, no. 1, p. 107-128 1609-6886
- Description
- 27 p.
- Summary
- 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. For this purpose, it examines the different approaches that private pension plans follow in practice when incorporating longevity risk in their actuarial calculations. Unfortunately, most pension funds do not fully account for future improvements in mortality and life expectancy. The paper then presents estimations of the range of increase in the net present value of annuity payments for a theoretical DB pension fund. Finally, the paper discusses several policy issues on how to deal with longevity risk emphasising the need for a common approach. In this regard, it argues, following Antolin (2007), 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.
- Subject
- Finance and Investment
- LCCN
- 10.1787/fmt-v2007-art6-en
- OCLC
- oecd-lib-003708
- Author
Antolin, Pablo.
- Title
Longevity Risk and Private Pensions [electronic resource] / Pablo Antolin
- Imprint
Paris : OECD Publishing, 2007.
- Connect to:
- Indexed Term
Finance and Investment
- Found In:
Financial Market Trends Vol. 2007, no. 1, p. 107-128 2007:1<107 1609-6886
- Other Standard Identifier
10.1787/fmt-v2007-art6-en doi