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Longevity selection and liabilities in public sector pension funds
Recurso electrónico / electronic resource
MAP20150015112
Fong, Joelle H. ‌
Longevity selection and liabilities in public sector pension funds / Joelle H. Fong, John Piggott, Michael Sherris
Sumario: This article assesses the cost and risk faced by public sector, defined benefit plan providers arising from uncertain mortality, including longevity selection, mortality improvements, and unexpected systematic shocks. Using longitudinal microdata on Australian pensioners, we quantify the extent of longevity selection at both aggregate and scheme level. We also show that as the age-membership structure in a pension scheme matures, scheme-specific longevity selection risk and systematic shocks become quantitatively more important and have larger consequences for plan liabilities than aggregate selection risk or the impact of mortality improvements
En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 02/03/2015 Volumen 82 Número 1 - marzo 2015 , p. 33-64
1. Fondos de pensiones ‌. 2. Longevidad ‌. 3. Sector público ‌. 4. Mortalidad ‌. 5. Australia ‌. I. Piggott, John ‌. II. Sherris, Michael ‌. III. Title.