Systematic and non-systematic mortality risk in pension portfolios

We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic ris...

Full description

Saved in:
Bibliographic Details
Published in:arXiv.org 2013-07
Main Author: Aro, Helena
Format: Article
Language:English
Subjects:
Life insurance
Mortality
Pension plans
Risk
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic risk diminishes rapidly as the number of members increases. Systematic mortality risk, on the other hand, is a significant source of risk is a pension portfolio.
ISSN:2331-8422