Systematic and Nonsystematic Mortality Risk in Pension Portfolios

Helena Aro

doi:10.1080/10920277.2013.861340

Systematic and Nonsystematic Mortality Risk in Pension Portfolios

Helena Aro^*

^*Corresponding author for this work

Department of Mathematics and Systems Analysis

Research output: Contribution to journal › Article › Scientific › peer-review

7 Citations (Scopus)

Abstract

We study the effects of nonsystematic 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 nonsystematic risk diminishes rapidly as the number of members increases. Systematic mortality risk, on the other hand, is a significant source of risk in a pension portfolio.

Original language	English
Pages (from-to)	59-67
Number of pages	9
Journal	NORTH AMERICAN ACTUARIAL JOURNAL
Volume	18
Issue number	1
DOIs	https://doi.org/10.1080/10920277.2013.861340
Publication status	Published - 2014
MoE publication type	A1 Journal article-refereed

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10.1080/10920277.2013.861340

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title = "Systematic and Nonsystematic Mortality Risk in Pension Portfolios",

abstract = "We study the effects of nonsystematic 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 nonsystematic risk diminishes rapidly as the number of members increases. Systematic mortality risk, on the other hand, is a significant source of risk in a pension portfolio.",

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Systematic and Nonsystematic Mortality Risk in Pension Portfolios

Abstract

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