Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy

DOI10.1080/10920277.2013.852463zbMATH Open1412.91032OpenAlexW2073236404MaRDI QIDQ5742663FDOQ5742663

Carlo A. Favero, Emilio Bisetti

Publication date: 15 May 2019

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

Full work available at URL: https://econpapers.repec.org/RePEc:igi:igierp:439

zbMATH Keywords

longevity riskpension systemslee-carter mortality model

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Modeling and Forecasting U.S. Mortality
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds
• The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security

Cited In (11)

• Assessment of longevity risk: credibility approach
• Longevity Risk and Capital Markets: The 2017–2018 Update
• Longevity risk and capital markets: the 2019--20 update
• A comparison of two legislative approaches to the pay-as-you-go pension system in terms of adequacy. The Italian case
• Inference pitfalls in Lee-Carter model for forecasting mortality
• Mortality by socio-economic class and its impact on the retirement schemes: how to render the systems fairer?
• Statistical Inference for Lee-Carter Mortality Model and Corresponding Forecasts
• Editorial: Longevity risk and capital markets: the 2013--14 update
• Longevity risk and capital markets: the 2015--16 update
• MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE
• TESTING FOR A UNIT ROOT IN LEE–CARTER MORTALITY MODEL

Uses Software

• LifeMetrics

Recommendations

• Individual post-retirement longevity risk management under systematic mortality risk 👍 👎
• Longevity risk in portfolios of pension annuities 👍 👎
• Systematic and Nonsystematic Mortality Risk in Pension Portfolios 👍 👎
• Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets 👍 👎
• Hedging longevity risk in defined contribution pension schemes 👍 👎
• Longevity, life-cycle behavior and pension reform 👍 👎
• The role of a longevity insurance for defined contribution pension systems 👍 👎
• Longevity and adjustment in pension annuities, with application to Finland 👍 👎
• Longevity risk and economic growth in sub-populations: evidence from Italy 👍 👎
• The effects of aging on notional defined contribution pension systems: A theoretical investigation 👍 👎

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