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Do actuaries believe in longevity deceleration?

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  • Debonneuil, Edouard
  • Loisel, Stéphane
  • Planchet, Frédéric

Abstract

As more and more people believe that significant life extensions may come soon, should commonly used future mortality assumptions be considered prudent? We find here that commonly used actuarial tables for annuitants – as well as the Lee–Carter model – do not extrapolate life expectancy at the same rate for future years as for past years; instead they produce some longevity deceleration. This is typically because their mortality improvements decrease after a certain age, and those age-specific improvements are constant over time. As potential alternatives (i) we study the Bongaarts model that produces straight increases in life expectancy; (ii) we adapt it to produce best-practice longevity trends (iii) we compare with various longevity scenarios even including a model for “life extension velocity”. (iv) after gathering advances in biogerontology we discuss elements to help retirement systems cope with a potential strong increase in life expectancy.

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  • Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
    • Handle: RePEc:eee:insuma:v:78:y:2018:i:c:p:325-338
    DOI: 10.1016/j.insmatheco.2017.09.008
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    1. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2017. "Conditions Of Interest Of A Longevity Megafund For Pension Funds," Working Papers hal-01571937, HAL.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    3. Jackie Li & Jia Liu, 2020. "A modified extreme value perspective on best-performance life expectancy," Journal of Population Research, Springer, vol. 37(4), pages 345-375, December.
    4. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Risks, MDPI, vol. 6(3), pages 1-27, July.

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