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Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes

Chao Qiao () and Michael Sherris ()
Additional contact information
Chao Qiao: PricewaterhouseCoopers Australia
Michael Sherris: School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales

No 201104, Working Papers from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales

Abstract: Group Self-annuitisation Schemes (GSAs), or Pooled Annuity Schemes, are designed to share uncertain future mortality experience including systematic improvements. They have been proposed because of the significant uncertainty of future mortality improvement on pension and annuity costs. The challenges for designing group pooled schemes include the decreasing average payments when mortality improves significantly, the decreasing numbers in the pool at the older ages and the dependence of systematic mortality improvements across different ages of members in the pool.

Keywords: Group self-annuitisation; pooled annuity; longevity risk; extreme value distribution; Gompertz-Makeham mortality (search for similar items in EconPapers)
JEL-codes: D02 G22 G23 J26 (search for similar items in EconPapers)
Date: 2011-03
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