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

See all articles by Andrew J. G. Cairns

Andrew J. G. Cairns

Heriot-Watt University - Department of Actuarial Science & Statistics

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

Suggested Citation

Cairns, Andrew J. G., Modeling and Management of Longevity Risk (October 1, 2013). 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, Available at SSRN: https://ssrn.com/abstract=2337154 or http://dx.doi.org/10.2139/ssrn.2337154

Andrew J. G. Cairns (Contact Author)

Heriot-Watt University - Department of Actuarial Science & Statistics ( email )

Edinburgh, Scotland EH14 4AS
United Kingdom

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