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Longevity risk and private pensions

Recurso electrónico / electronic resource
Sección: Documentos electrónicos
Título: Longevity risk and private pensions / Pablo AntolinAutor: Antolin, Pablo
Publicación: Paris : OECD, 2007Serie: (OECD working paper on insurance and private pensions ; 3)Notas: 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 modelMateria / lugar / evento: Planes de pensiones Longevidad Esperanza de vida Incertidumbre Modelos probabílisticos Procesos estocásticos Países de la OCDE Otros autores: Organisation for Economic Co-operation and Development
Serie secundaria: OECD Working paper on insurance and private pensions ; 3 Otras clasificaciones: 345