Systematic and nonsystematic mortality risk in pension portfolios

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<title>Systematic and nonsystematic mortality risk in pension portfolios</title>
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<namePart>Aro, Helena</namePart>
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<abstract displayLabel="Summary">We study the effects of nonsystematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but nonsystematic risk diminishes rapidly as the number of members increases. Systematic mortality risk, on the other hand, is a significant source of risk in a pension portfolio.</abstract>
<note type="statement of responsibility">Helena Aro</note>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>03/02/2014 Tomo 18 Número 1 - 2014 </text>
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