Systematic and Nonsystematic Mortality Risk in Pension Portfolios

DOI10.1080/10920277.2013.861340zbMath1412.91029arXiv1307.8020OpenAlexW2001607917MaRDI QIDQ5742659

Helena Aro

Publication date: 15 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.8020

zbMATH Keywords

nonsystematic and systematic mortality riskspension portfolios

Mathematics Subject Classification ID

Related Items (6)

Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011 ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

Cites Work

• Unnamed Item
• Longevity risk in portfolios of pension annuities
• Quantifying mortality risk in small defined-benefit pension schemes
• Stochastic modelling of mortality and financial markets
• Uncertainty in mortality projections: an actuarial perspective

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