Longevity Risk in Notional Defined Contribution Pension Schemes: A Solution
| Autor: | Séverine Arnold, María del Carmen Boado-Penas, Humberto Godínez-Olivares |
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| Rok vydání: | 2015 |
| Předmět: |
Economics and Econometrics
Defined contribution plan Pension 050208 finance Actuarial science Longevity risk business.industry 05 social sciences Lee–Carter model 01 natural sciences General Business Management and Accounting 010104 statistics & probability Accounting Capital (economics) 0502 economics and business Economics Dividend 0101 mathematics Notional amount business Finance Risk management |
| Zdroj: | The Geneva Papers on Risk and Insurance - Issues and Practice. 41:24-52 |
| ISSN: | 1468-0440 1018-5895 |
| DOI: | 10.1057/gpp.2015.15 |
| Popis: | 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 Lee–Carter 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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