Centro de Documentacion de Fundación MAPFRE - Longevity risk and private pensions

MAP20100044582

Longevity risk and private pensions / Pablo Antolin. — Paris : OECD, 2007

(OECD working paper on insurance and private pensions ; 3)

Sumario: 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 life expectancy outcomes by means of Monte-Carlo simulations of the Lee-Carter model

1. Planes de pensiones . 2. Longevidad . 3. Esperanza de vida . 4. Incertidumbre . 5. Modelos probabílisticos . 6. Procesos estocásticos . 7. Países de la OCDE . I. Organisation for Economic Co-operation and Development . II. OECD Working paper on insurance and private pensions ; 3 . III. Title.