Systematic and Nonsystematic Mortality Risk in Pension Portfolios

Helena Aro*

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

4 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 languageEnglish
Pages (from-to)59-67
Number of pages9
JournalNORTH AMERICAN ACTUARIAL JOURNAL
Volume18
Issue number1
DOIs
Publication statusPublished - 2014
MoE publication typeA1 Journal article-refereed

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