Age-Period-Cohort ("APC") models have been criticised on a number of grounds. One area of concern is in relation to projecting future cohorts. However, we would argue that such projection is unnecessary in some key cases, such as for closed defined benefit pension...
Over the last twenty years, the extent of defined benefit provision has declined substantially in the United Kingdom. Whilst most of the focus has been on deficits relating to past benefit accrual, a more important consideration is the increasing cost of future...
The popular beta-binomial approach to credibility offers an attractive way of combining the results of experience and risk rating. However, when applied to a particular age the information available from surrounding ages is ignored. In this paper I propose an...
Pension fund longevity risk is becoming increasingly important. Longevity indices would allow the creation of liquid derivatives that could be used to hedge this risk. However, there are a number of criteria that such indices would need to fulfil to provide an optimal...
This paper builds on the two‐factor model developed by Cairns et al (2006) for projecting future mortality. It is shown that these two factors do not follow a random walk, as proposed by Cairns et al, but should instead be modeled as a random fluctuation around a...
The purpose of this paper is to give actuaries an easy‐to‐use approach to modelling stochastic mortality. Whilst the approach described can be used with tailor‐made projections, it can also be applied to published base tables and improvement factors. The methodology...
This paper looks at basis risk in survivor swaps, which occurs when mortality of the reference population used to price the swap differs from the mortality of the population being hedged. The author finds that any basis risk present is usually small compared to the...
The literature into employee choice in relation to DB and DC pension schemes is substantial. Yang (2005) looks at the factors influencing employee choice between DB and DC pension schemes; similarly, Choi et al (2002) and Huberman et al (2004) look at the factors...
