Longevity Risk and Private Pensions
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 mo...
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| Format: | eBook |
| Language: | English |
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Paris
OECD Publishing
2007
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| Series: | OECD Working Papers on Insurance and Private Pensions
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| Collection: | OECD Books and Papers - Collection details see MPG.ReNa |
| 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. 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... |
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| Physical Description: | 27 p. 21 x 29.7cm |