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Longevity Selection And Liabilities In Public Sector Pension Funds

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  • Joelle H. Fong
  • John Piggott
  • Michael Sherris

Abstract

type="main" xml:lang="en"> This article assesses the cost and risk faced by public sector, defined benefit plan providers arising from uncertain mortality, including longevity selection, mortality improvements, and unexpected systematic shocks. Using longitudinal microdata on Australian pensioners, we quantify the extent of longevity selection at both aggregate and scheme level. We also show that as the age-membership structure in a pension scheme matures, scheme-specific longevity selection risk and systematic shocks become quantitatively more important and have larger consequences for plan liabilities than aggregate selection risk or the impact of mortality improvements.

Suggested Citation

  • Joelle H. Fong & John Piggott & Michael Sherris, 2015. "Longevity Selection And Liabilities In Public Sector Pension Funds," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 82(1), pages 33-64, March.
    • Handle: RePEc:bla:jrinsu:v:82:y:2015:i:1:p:33-64
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    Cited by:

    1. María del Carmen Valls Martínez & José Manuel Santos-Jaén & Fahim-ul Amin & Pedro Antonio Martín-Cervantes, 2021. "Pensions, Ageing and Social Security Research: Literature Review and Global Trends," Mathematics, MDPI, vol. 9(24), pages 1-25, December.
    2. Torben M. Andersen & Marias H. Gestsson, 2021. "Annuitization and aggregate mortality risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 79-99, March.
    3. David G. McCarthy & Po‐Lin Wang, 2022. "Wait your turn: Pension incentives, workplace rules, and labor supply among Philadelphia municipal workers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 985-1029, December.

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