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Modelling Mortality for Pension Schemes

Hunt, A. & Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, doi: 10.1017/asb.2016.40


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.

Publication Type: Article
Additional Information: © Astin Bulletin 2017
Publisher Keywords: Mortality modelling, age/period/cohort models, longevity basis risk
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
Text - Accepted Version
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