Academic Journal
MODELLING MORTALITY FOR PENSION SCHEMES.
| Τίτλος: | MODELLING MORTALITY FOR PENSION SCHEMES. |
|---|---|
| Συγγραφείς: | Hunt, Andrew1, Blake, David2 |
| Πηγή: | Astin Bulletin. May2017, Vol. 47 Issue 2, p601-629. 29p. |
| Θεματικοί όροι: | *Mortality -- Mathematical models, *Pensions, Death rate, Longevity, Population |
| Γεωγραφικοί όροι: | United Kingdom |
| Περίληψη: | For many pension schemes, a shortage of data limits their ability to use sophisticated stochastic mortality models to assess and manage their exposure to longevity risk. In this study, we develop a mortality model designed for such pension schemes, which compares the evolution of mortality rates in a sub-population with that observed in a larger reference population. We apply this approach to data from the CMI Self-Administered Pension Scheme study, using U.K. population data as a reference. We then use the approach to investigate the potential differences in the evolution of mortality rates between these two populations and find that, in many practical situations, basis risk is much less of a problem than is commonly believed. [ABSTRACT FROM AUTHOR] |
| Copyright of Astin Bulletin is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Βάση Δεδομένων: | Business Source Index |
| FullText | Links: – Type: other Text: Availability: 0 |
|---|---|
| Header | DbId: bsx DbLabel: Business Source Index An: 122985097 RelevancyScore: 1191 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 1190.51184082031 |
| IllustrationInfo | |
| Items | – Name: Title Label: Title Group: Ti Data: MODELLING MORTALITY FOR PENSION SCHEMES. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Hunt%2C+Andrew%22">Hunt, Andrew</searchLink><relatesTo>1</relatesTo><br /><searchLink fieldCode="AR" term="%22Blake%2C+David%22">Blake, David</searchLink><relatesTo>2</relatesTo> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Astin+Bulletin%22">Astin Bulletin</searchLink>. May2017, Vol. 47 Issue 2, p601-629. 29p. – Name: Subject Label: Subject Terms Group: Su Data: *<searchLink fieldCode="DE" term="%22Mortality+--+Mathematical+models%22">Mortality -- Mathematical models</searchLink><br />*<searchLink fieldCode="DE" term="%22Pensions%22">Pensions</searchLink><br /><searchLink fieldCode="DE" term="%22Death+rate%22">Death rate</searchLink><br /><searchLink fieldCode="DE" term="%22Longevity%22">Longevity</searchLink><br /><searchLink fieldCode="DE" term="%22Population%22">Population</searchLink> – Name: SubjectGeographic Label: Geographic Terms Group: Su Data: <searchLink fieldCode="DE" term="%22United+Kingdom%22">United Kingdom</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: For many pension schemes, a shortage of data limits their ability to use sophisticated stochastic mortality models to assess and manage their exposure to longevity risk. In this study, we develop a mortality model designed for such pension schemes, which compares the evolution of mortality rates in a sub-population with that observed in a larger reference population. We apply this approach to data from the CMI Self-Administered Pension Scheme study, using U.K. population data as a reference. We then use the approach to investigate the potential differences in the evolution of mortality rates between these two populations and find that, in many practical situations, basis risk is much less of a problem than is commonly believed. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Astin Bulletin is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
| PLink | https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=bsx&AN=122985097 |
| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1017/asb.2016.40 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 29 StartPage: 601 Subjects: – SubjectFull: Mortality -- Mathematical models Type: general – SubjectFull: Pensions Type: general – SubjectFull: Death rate Type: general – SubjectFull: Longevity Type: general – SubjectFull: Population Type: general – SubjectFull: United Kingdom Type: general Titles: – TitleFull: MODELLING MORTALITY FOR PENSION SCHEMES. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Hunt, Andrew – PersonEntity: Name: NameFull: Blake, David IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 05 Text: May2017 Type: published Y: 2017 Identifiers: – Type: issn-print Value: 05150361 Numbering: – Type: volume Value: 47 – Type: issue Value: 2 Titles: – TitleFull: Astin Bulletin Type: main |
| ResultId | 1 |