Centro de Documentacion de Fundación MAPFRE - Modelling mortality for pension schemes

MAP20170019916

Modelling mortality for pension schemes / Andrew Hunt, David Blake

Sumario: For many pension schemes, a shortage of data limits their ability to use sophisticated stochastic mortality models to assess and manage their exposure to longevity risk. In this study, we develop a mortality model designed for such pension schemes, which compares the evolution of mortality rates in a subpopulation with that observed in a larger reference population. We apply this approach to data from the CMI Self-Administered Pension Scheme study, using U.K. population data as a reference.We then use the approach to investigate the potential differences in the evolution of mortality rates between these two populations and find that, in many practical situations, basis risk is much less of a problem than is commonly believed

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 601-629

1. Mortalidad . 2. Longevidad . 3. Pensiones . I. Blake, David . II. Title.