Modeling and Management of Longevity Risk
Published in Maurer, R., O. Mitchell, and P. Hammond (Eds.) (2014). Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk. Oxford, UK: Oxford University Press.
Pension Research Council Working Paper, PRC WP2013-19
Posted: 9 Oct 2013 Last revised: 3 Apr 2020
Date Written: October 1, 2013
Abstract
In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk management strategy. On the modeling front much still needs to be done on robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what the objectives are of pension plans that need to be optimized. We propose a variety of ways forward on both counts.
Keywords: Longevity Risk, Stochastic Mortality Models, Robustness, Risk Management
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