Longevity Risk and Private Pensions
Pablo Antolin ()
Financial Market Trends, 2007, vol. 2007, issue 1, 107-128
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.
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Full text available to READ online. PDF download available to OECD iLibrary subscribers.
Working Paper: Longevity Risk and Private Pensions (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oec:dafkab:5l4mbjf9s5hl
Access Statistics for this article
More articles in Financial Market Trends from OECD Publishing Contact information at EDIRC.
Bibliographic data for series maintained by ().