Modeling longevity risk

• Autorzy: Grażyna Trzpiot , Justyna Majewska
• Języki publikacji: EN

Abstrakty

EN

Historically, unexpected improvements in mortality rates have led to large, unanticipated increases in life expectancy, with accompanying increases in the value of defined benefit pension liabilities. As a result, longevity risk needs to be measured and managed alongside the financial risks facing these plans. In recent years, ageing populations have been recognized as one of the key threats to pension systems around the world. As people continue to live longer and as the proportion of retired to working people increases, both pay-as-you-go and funded pension systems will suffer. The impact of increased longevity is significant. People aged 65 in 2050 or later may expect to live to more than 90, while the generation before them, who turned 65 in 2010 or earlier, may expect to live to less than 85. As life expectancy increases, income from retirement savings will have to be paid out over more years, which means that retirees will receive less money per year for the same amount of capital. Whether the retiree purchases an annuity or draws down accumulated wealth, increasing longevity will increase the cost of retirement, assuming the age of retirement remains the same. The chapter is concentrated on one of the most important aspect that must be taken into account when constructing products burdened by longevity risk, i.e. the sustainability of pensions. The purpose of the paper is presentation of mathematical background and calibrates it using Polish demographic and financial data. (fragment of text)

Słowa kluczowe

EN

Risk management; Mathematical models; Econometric models

PL

Zarządzanie ryzykiem; Modele matematyczne; Modele ekonometryczne

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2015
• Tom: Modelowanie wielowymiarowych struktur danych i analiza ryzyka
• Strony: 41--49

Twórcy

autor

Grażyna Trzpiot

• University of Economics in Katowice, Poland

autor

Justyna Majewska

• University of Economics in Katowice, Poland

Bibliografia

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