Article2014

Systematic and Nonsystematic Mortality Risk in Pension Portfolios

15 citations0/0 files storedNorth American Actuarial Journal

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Insurance, Mortality, Demography, Risk Management Financial Literacy, Pension, Retirement Analysis Probability and Risk Models

Abstract

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.

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2004Insurance: Mathematics and Economics 1991Bond and Option Pricing when Short Rates are Lognormal 2008Scandinavian Actuarial Journal 2001Uncertainty in mortality projections: an actuarial perspective 2007Longevity risk in portfolios of pension annuities 2006Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio 2011A user-friendly approach to stochastic mortality modelling 2011Quantifying mortality risk in small defined-benefit pension schemes

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