Longevity selection and liabilities in public sector pension funds

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<title>Longevity selection and liabilities in public sector pension funds</title>
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<namePart>Fong, Joelle H.</namePart>
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<namePart>Piggott, John</namePart>
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<namePart>Sherris, Michael</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Joelle H. Fong, John Piggott, Michael Sherris</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591021">
<topic>Fondos de pensiones</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570545">
<topic>Sector público</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<geographic>Australia</geographic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
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<text>02/03/2015 Volumen 82 Número 1 - marzo 2015 , p. 33-64</text>
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