Centro de Documentacion de Fundación MAPFRE - Longevity risk in notional defined contribution pension schemes : a solution

Notas: Sumario: Notional defined contribution pension schemes (NDCs) aim at reproducing the logic of a financial defined contribution plan under a pay-as-you-go framework. Of particular interest is how the accumulated capital of a deceased person is used when the death occurs prior to retirement. While in most countries this accumulated capital (called survivor dividend, SD) is kept by the scheme, in Sweden it is distributed among the same cohort survivors. This paper aims to analyse to what extent the SD kept by most NDCs can be used to cover an unexpected longevity increase. We develop formulas under different assumptions (constant or according to LeeCarter mortality improvements) to calculate the maximum mortality decrease a scheme can cover if the SD is not distributed. We also apply the formulas using Polish, Latvian and Swedish life tables and show that the non-distribution of the SD is a potential solution to cover the longevity risk of NDCs.Registros relacionados: En: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 04/01/2016 Volumen 41 Número 1 - enero 2016 , p. 24-52Materia / lugar / evento: Pensiones Longevidad Cálculo de probabilidades Modelo Lee-Carter Jubilación Tablas de mortalidad Cálculo actuarial Otros autores: Boado-Penas, María del Carmen
Godínez-Olivares, Humberto
Otras clasificaciones: 6

Derechos: In Copyright (InC)

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