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Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes

Author

Listed:
  • Chao Qiao

    (PricewaterhouseCoopers Australia)

  • Michael Sherris

    (School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

Abstract

Group Self-annuitisation Schemes (GSAs), or Pooled Annuity Schemes, are designed to share uncertain future mortality experience including systematic improvements. They have been proposed because of the significant uncertainty of future mortality improvement on pension and annuity costs. The challenges for designing group pooled schemes include the decreasing average payments when mortality improves significantly, the decreasing numbers in the pool at the older ages and the dependence of systematic mortality improvements across different ages of members in the pool.

Suggested Citation

  • Chao Qiao & Michael Sherris, 2011. "Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes," Working Papers 201104, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    • Handle: RePEc:asb:wpaper:201104
    as

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    File URL: http://cepar.edu.au/media/48700/Managing%20Systematic%20Mortality%20Risk%20with%20Group.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla & Vasily Kartashov, 2013. "Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 649-676, September.

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    More about this item

    Keywords

    Group self-annuitisation; pooled annuity; longevity risk; extreme value distribution; Gompertz-Makeham mortality;
    All these keywords.

    JEL classification:

    • D02 - Microeconomics - - General - - - Institutions: Design, Formation, Operations, and Impact
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies

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