Systematic and non-systematic mortality risk in pension portfolios

Helena Aro

Papers from arXiv.org

Abstract: We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic risk diminishes rapidly as the number of members increases. Systematic mortality risk, on the other hand, is a significant source of risk is a pension portfolio.

Date: 2013-07, Revised 2013-07
New Economics Papers: this item is included in nep-age and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1307.8020

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