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- W2049663363 abstract "Abstract Pension funds in Switzerland are exposed to longevity risk possibly to a greater extent than in many other developed economies. The ground for this is a dearth of financial products to combat longevity risk, with a lack of buy-in and very limited variety of buy-out solutions available. The solutions that do exist frequently come at a very high price and many pension funds are in deficit on a buy-out basis. From our point of view creating an approach for evaluating the longevity risk faced by each pension fund and integrating it into dynamic risk budgeting strategies will help Swiss pension funds better understand the mechanism behind different longevity de-risking solutions and decide on the most suitable as well as affordable solution for them. To develop capital market solutions for longevity hedging strategies it is crucial that both hedgers (pension funds) as well as solution providers are able to quantify the longevity risk in the framework of a holistic risk management and to develop an adequate pricing approach. In this publication we present our stochastic coherent mortality model developed for Swiss pension funds based on the reference population of fifteen countries and discuss the robustness of the forecasts relative to the sample period used to fit the model, biological reasonableness of the forecasts and other modelling parameters as well as possible impact on results. The model has taken into account past single population modelling techniques and allows flexible age effect to capture the spread behaviour introduced by the target population. The augmented terms for the spread function are chosen based on their forecast accuracy and a coherent behaviour is expected in the long term. The idea behind is fairly simple and yields a design with both transparency and robustness. The model usage is not limited to Switzerland." @default.
- W2049663363 created "2016-06-24" @default.
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- W2049663363 date "2015-07-01" @default.
- W2049663363 modified "2023-09-27" @default.
- W2049663363 title "Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: A practical approach" @default.
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- W2049663363 doi "https://doi.org/10.1016/j.insmatheco.2015.03.025" @default.
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