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Longevity Risk and Private Pensions

Pablo Antolin ()

No 3, OECD Working Papers on Insurance and Private Pensions from OECD Publishing

Abstract: 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... Risque de longévité et pensions privées Cet article examine l'impact de l’incertitude concernant l'évolution de la mortalité et de l’espérance de vie (risque de longévité) sur le passif des fonds de pensions privés à prestations définies. Cet article soutient l'argument que, pour évaluer de manière adéquate cette incertitude et les risques associés, il est préférable de recourir à une approche stochastique pour l'établissement de projections de mortalité et d'espérance de vie afin de pouvoir associer des probabilités à des prévisions différentes. A ce sujet, le présent article présente les résultats de l'application simulée du modèle Lee-Carter à plusieurs...

Keywords: defined benefit pension plans.; demographic trends and forecasts; histogrammes; histograms; Lee-Carter models; life tables; longevity risk; modèle Lee-Carter; Monte Carlo methods; mortality and life expectancy; mortalité et l'espérance de vie; pensions privées; plans de pensions à prestation définie; private pensions; prévisions démographiques; retirement; risque de longévité; simulation Monte Carlo; tableaux de survie (search for similar items in EconPapers)
JEL-codes: C15 C32 G23 J11 J26 J32 (search for similar items in EconPapers)
Date: 2007-01-01
New Economics Papers: this item is included in nep-ias
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https://doi.org/10.1787/261260613084 (text/html)

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