Public Sector Pension Funds in Australia: Longevity Selection and Liabilities

44 Pages Posted: 7 Jun 2012

See all articles by Joelle H. Fong

Joelle H. Fong

National University of Singapore

John Piggott

University of New South Wales (UNSW) - Australian School of Business, School of Economics

Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies; UNSW Australia Business School

Date Written: May 31, 2012

Abstract

This paper assesses the cost and risk faced by public sector, defined benefit plan providers arising from uncertain mortality, including longevity selection, mortality improvements, and unexpected systematic shocks. Using longitudinal micro data on Australian pensioners, we quantify the extent of longevity selection at both aggregate and scheme level. We also show that as the age-membership structure in a pension scheme matures, scheme-specific longevity selection risk and systematic shocks become quantitatively more important and have larger consequences for plan liabilities than aggregate selection risk or the impact of mortality improvements.

Keywords: pensions, defined benefits, public sector, pensions, mortality, longevity risk

JEL Classification: H55, H75, G23, C23

Suggested Citation

Fong, Joelle H. and Piggott, John and Sherris, Michael, Public Sector Pension Funds in Australia: Longevity Selection and Liabilities (May 31, 2012). UNSW Australian School of Business Research Paper No. 2012 AIPAR 06. Available at SSRN: https://ssrn.com/abstract=2078683 or http://dx.doi.org/10.2139/ssrn.2078683

Joelle H. Fong (Contact Author)

National University of Singapore ( email )

469C BUKIT TIMAH ROAD, LKYSPP
SINGAPORE, Singapore 259771
Singapore

HOME PAGE: http://https://lkyspp.nus.edu.sg/our-people/faculty/fong-hung-yee-joelle

John Piggott

University of New South Wales (UNSW) - Australian School of Business, School of Economics ( email )

High Street
Sydney, NSW 2052
Australia

Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies ( email )

UNSW Business School
Risk and Actuarial Studies
Sydney, NSW 2052
Australia
+61 2 9385 2333 (Phone)
+61 2 9385 1883 (Fax)

HOME PAGE: http://www.asb.unsw.edu.au/schools/Pages/MichaelSherris.aspx

UNSW Australia Business School ( email )

Sydney, NSW 2052
Australia

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