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L'Azienda Pubblica Sostenibile: La Ricerca di un Equilibrio tra Efficacia, Efficienza e Sostenibilità
No full textPopulation Heterogeneity in Defined Contribution Pension Schemes
No full textPopulation ageing has implications on sustainability of pension systems and
governments have acted in recent years to find more sustainable pension schemes. In this
regard, in many countries a gradual shift from defined benefits (DB) to defined contributions
(DC) system is occurring. According to the latter scheme, contributions paid during the
working life are accumulated until the retirement age, when the amount is converted into a
life annuity through annuitisation factors taking into account the forecasted expectancy of life.
In order to ensure actuarial fairness of pension contracts longevity risk has to be taken into
account. Moreover, fairness is hindered by mortality heterogeneity. In fact, mortality rates are
influenced by race, ethnicity, income, wealth, marital status and educational attainment but
these aspects are not considered in DC pension plans and the same annuitisation factors are
applied for different individuals. The aim of this paper is to analyse the effect of mortality
heterogeneity on DC plan, focusing on the resulting redistribution of wealth between different
groups of individuals. Computationally, numerical analyses on the Italian dataset are
provided
Population Heterogeneity in Defined Contribution Pension Schemes
Get PDFPopulation ageing has implications on sustainability of pension systems and
governments have acted in recent years to find more sustainable pension schemes. In this
regard, in many countries a gradual shift from defined benefits (DB) to defined contributions
(DC) system is occurring. According to the latter scheme, contributions paid during the
working life are accumulated until the retirement age, when the amount is converted into a
life annuity through annuitisation factors taking into account the forecasted expectancy of life.
In order to ensure actuarial fairness of pension contracts longevity risk has to be taken into
account. Moreover, fairness is hindered by mortality heterogeneity. In fact, mortality rates are
influenced by race, ethnicity, income, wealth, marital status and educational attainment but
these aspects are not considered in DC pension plans and the same annuitisation factors are
applied for different individuals. The aim of this paper is to analyse the effect of mortality
heterogeneity on DC plan, focusing on the resulting redistribution of wealth between different
groups of individuals. Computationally, numerical analyses on the Italian dataset are
provided
Measuring mortality heterogeneity in pension annuities
No full textPension plan sponsors face a myriad of risks, one of which is longevity risk that arises from the increasing life expectancy trends among pensioners. Traditionally, plan sponsors manage longevity risk by forecasting the mortality rates. However, recent acceleration in longevity improvement forces the insurance companies to assess accurately the survival trend, in order to avoid paying much longer than expected. As regards the mortality trend we have to empathize different features with respect to mortality due to different race, ethnicity, income, wealth, marital status, educational attainment and so on. The mortality heterogeneity tends to determine a phenomenon termed as overdispersion, according to which the variance compared to the mean increases. Some authors take into account the mortality overdispersion by estimating the parameter in a mixed Poisson model. In the current literature, there are several papers which have considered the modelling and forecasting of population mortality using the Lee-Carter framework. In this paper, we propose an extended version of the model under consideration, in order to capture the phenomenon of the heterogeneity in mortality trend, by using the geographical stratification of the population. Diagnostic plots are provided to show the results and actuarial application is performed in a context of pension products
Lee–Carter model: assessing the potential to capture gender-related mortality dynamics
Get PDFWe investigate the ability of the Lee–Carter model to effectively estimate the gender
gap ratio (GGR), the ratio between themale death rates over the female ones, by using a
Cox–Ingersoll–Ross (CIR) process to provide a stochastic representation of the fitting
errors. The novelty consists in the fact that we use the parameters characterizing the
CIR process itself (long-term mean and volatility), in their intrinsic meanings, as
quantitative measures of the long-term fitting attitude of the Lee–Carter model and
synthetic indicators of the overall risk of this model. The analysis encompasses 25
European countries, to provide evidence-based indications about the goodness of fit
of the Lee–Carter model in describing the GGR evolution.We highlight some stylized
facts, namely systematic evidence about the fitting bias and the risk of the model
across ages and countries. Furthermore, we perform a functional cluster analysis,
allowing to capture similarities in the fitting performance of the Lee–Carter model
among countries
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