Longevity Selection and Liabilities in Public Sector Pension Funds

32 Pages Posted: 21 Feb 2015

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: March 2015

Abstract

This article 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 microdata 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.

Suggested Citation

Fong, Joelle H. and Piggott, John and Sherris, Michael, Longevity Selection and Liabilities in Public Sector Pension Funds (March 2015). Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 33-64, 2015. Available at SSRN: https://ssrn.com/abstract=2567972 or http://dx.doi.org/10.1111/j.1539-6975.2013.12005.x

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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