Wharton Pension Research Council Working Papers
 

Title

Modeling and Management of Longevity Risk

Document Type

Working Paper

Date of this Version

10-1-2013

Abstract

In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk management strategy. On the modeling front much still needs to be done on robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what the objectives are of pension plans that need to be optimized. We propose a variety of ways forward on both counts.

Comments

The published version of this Working Paper may be found in the 2014 publication: Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk.

Keywords

Longevity Risk, Stochastic Mortality Models, Robustness, Risk Management

Working Paper Number

WP2013-19

Copyright/Permission Statement

All opinions, errors, findings, interpretations, and conclusions of this paper represent the views of the authors and not those of the Wharton School or the Pension Research Council. © 2013 Pension Research Council of the Wharton School of the University of Pennsylvania. All rights reserved.

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Date Posted: 26 June 2019