Publicação
Estimation of Longevity Risk and Mortality Modelling
| Resumo: | Previous mortality models failed to account for improvements in human mortality rates thus in general, human life expectancy was underestimate. Declining mortality and increasing life expectancy (longevity) profoundly alter the population age distribution. This demographic transition has received considerable attention on pension and annuity providers. Concerns have been expressed about the implications of increased life expectancy for government spending on old-age support. The goal of this paper is to lay out a framework for measuring, understanding, and analyzing longevity risk, with a focus on defined pension plans. Lee-Carter proposed a widely used mortality forecasting model in 1992. The study looks at how well the Lee-Carter model performed for female and male populations in the selected country (France) from 1816 to 2018. The Singular Value Decomposition (SVD) method is used to estimate the parameters of the LC model. The mortality table then assesses future improvements in mortality and life expectancy, taking into account mortality assumptions, to see if pension funds and annuity providers are exposed to longevity risk. Mortality assumptions are predicted death rates based on a mortality table. The two types of mortality are mortality at birth and mortality in old age. Longevity risk must be effectively managed by pension and annuity providers. To mitigate this risk, pension providers must factor in future improvements in mortality and life expectancy, as mortality rates tend to decrease over time. The findings show that failing to account for future improvements in mortality results in an expected provision shortfall. Protection mechanisms and policy recommendations to manage longevity risk can help to mitigate the financial impact of an unexpected increase in longevity. |
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| Autores principais: | Atemnkeng, Tabi Rosy Christy |
| Assunto: | Lee-Carter (LC) model Mortality modeling Forecasting Life expectancy Singular value decomposition (SVD) |
| Ano: | 2022 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | Previous mortality models failed to account for improvements in human mortality rates thus in general, human life expectancy was underestimate. Declining mortality and increasing life expectancy (longevity) profoundly alter the population age distribution. This demographic transition has received considerable attention on pension and annuity providers. Concerns have been expressed about the implications of increased life expectancy for government spending on old-age support. The goal of this paper is to lay out a framework for measuring, understanding, and analyzing longevity risk, with a focus on defined pension plans. Lee-Carter proposed a widely used mortality forecasting model in 1992. The study looks at how well the Lee-Carter model performed for female and male populations in the selected country (France) from 1816 to 2018. The Singular Value Decomposition (SVD) method is used to estimate the parameters of the LC model. The mortality table then assesses future improvements in mortality and life expectancy, taking into account mortality assumptions, to see if pension funds and annuity providers are exposed to longevity risk. Mortality assumptions are predicted death rates based on a mortality table. The two types of mortality are mortality at birth and mortality in old age. Longevity risk must be effectively managed by pension and annuity providers. To mitigate this risk, pension providers must factor in future improvements in mortality and life expectancy, as mortality rates tend to decrease over time. The findings show that failing to account for future improvements in mortality results in an expected provision shortfall. Protection mechanisms and policy recommendations to manage longevity risk can help to mitigate the financial impact of an unexpected increase in longevity. |
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