Longevity Risk in Notional Defined Contribution Pension Schemes: a Solution

Détails

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Version: de l'auteur
ID Serval
serval:BIB_42DBFB4AADCE
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Longevity Risk in Notional Defined Contribution Pension Schemes: a Solution
Périodique
The Geneva Papers on Risk and Insurance - Issues and Practice
Auteur(s)
Boado-Penas M.C., Godinez-Olivares H.
Collaborateur(s)
Arnold (-Gaille) S.
ISSN
1018-5895 (Print)
1468-0440 (Online)
Statut éditorial
Publié
Date de publication
01/2016
Peer-reviewed
Oui
Volume
41
Numéro
1
Pages
24-52
Langue
anglais
Résumé
Notional defined contribution pension schemes (NDCs) aim at reproducing the logic of a 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 the 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 extend the SD kept by most NDCs can be used to cover an unexpected longevity increase. We develop formulae 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 formulae 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.
Mots-clé
Notional Defined Contribution, Longevity Risk, Pay-As-You-Go, Public Pensions, Lee-Carter Model, Retirement.
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Création de la notice
09/12/2014 18:22
Dernière modification de la notice
03/03/2018 16:39
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