Quantifying mortality risk in small defined-benefit pension schemes

DOI10.1080/03461238.2011.635803zbMath1401.91132arXiv1107.1380OpenAlexW2133313162MaRDI QIDQ4576836

Catherine Donnelly

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.1380

zbMATH Keywords

mortality riskcoefficient of variationsystematic riskidiosyncratic riskstochastic mortalityEuler capital allocation principlesmall defined-benefit pension scheme

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011 ⋮ ACTUARIAL FAIRNESS AND SOLIDARITY IN POOLED ANNUITY FUNDS ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Systematic and Nonsystematic Mortality Risk in Pension Portfolios ⋮ Construction of rating systems using global sensitivity analysis: a numerical investigation ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

Uses Software

• QRM

Cites Work

• Unnamed Item

This page was built for publication: Quantifying mortality risk in small defined-benefit pension schemes