Pension Systems
In: Gu D., Dupre M. (eds) Encyclopedia of Gerontology and Population Aging. Springer, Cham, Forthcoming
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In: Gu D., Dupre M. (eds) Encyclopedia of Gerontology and Population Aging. Springer, Cham, Forthcoming
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Recent pension reforms in Europe have implemented a link between retirement age and life expectancy. The accurate forecast of life tables and life expectancy is hence paramount for governmental policy and financial institutions. We developed a multi-population mortality model which includes a cause-specific environment using Archimedean copulae to model dependence between various groups of causes of death. For this, Dutch data on cause-of-death mortality and cause-specific mortality data from 14 comparable European countries were used. We find that the inclusion of a common factor to a cause-specific mortality context increases the robustness of the forecast and we underline that cause-specific mortality forecasts foresee a more pessimistic mortality future than general mortality models. Overall, we find that this non-trivial extension is robust to the copula specification for commonly chosen dependence parameters.
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In: Insurance: Mathematics and Economics, Band 88, Heft September
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In: The Journal of the Economics of Ageing. Available online 25 July 2018. DOI: 10.1016/j.jeoa.2018.07.002
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In: Insurance: Mathematics and Economics, Band 70
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In: ASTIN Bulletin, Band 46, S. 677-707
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In: Journal of economic policy reform, Band 24, Heft 2, S. 201-218
ISSN: 1748-7889
In: Journal of Economic Policy Reform, DOI: 10.1080/17487870.2019.1599718, 2019
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In: European actuarial journal, Band 12, Heft 2, S. 701-743
ISSN: 2190-9741
AbstractMany OECD countries have addressed the issue of increased longevity by mainly increasing the retirement age. However, this kind of reforms may lead to substantial transfers from those with shorter lifespans to those that will live longer than the average, as they do not necessarily take into account the socio-economic differences in mortality. The contribution of our paper is therefore twofold. Firstly, we illustrate how both a Defined Benefit and a Notional Defined Contribution pay-as-you-go scheme can put the lower social economic classes at a disadvantage, when compared to the actuarially fair pensions. In contrast to that, higher classes experience a gain. This is due to the fact that mortality rates per socio-economic class are not considered by either scheme. Consequently, we propose a model that determines the parameters for each scheme and class which would render the pensions fairer even when no socio-economic mortality differences are considered.
In: Scandinavian Actuarial Journal. Forthcoming
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In: European Actuarial Journal (2021)
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In: CEPAR Working Paper 2020/17
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In: Scandinavian Journal of Economics 123(3), 810–847
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In: Scandinavian Actuarial Journal, Band 2018:2, Heft 85-108
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In: The European Journal of Finance. Available online: Doi: 10.1080/1351847X.2017.1399429
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