Joelle H. Fong, John Piggott, and Michael Sherris are at the ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, Australia. The authors can be contacted via email: firstname.lastname@example.org; email@example.com; firstname.lastname@example.org. Research support from CEPAR (under project CE110001029) and research assistance from Carolyn Njenga are gratefully acknowledged. We would like to thank two anonymous referees and conference participants at the American Risk and Insurance Association 2012 Annual Meeting and 20th Annual Colloquium of Superannuation Researchers UNSW for comments. Mercer (Australia) generously made available the database used for this research.
LONGEVITY SELECTION AND LIABILITIES IN PUBLIC SECTOR PENSION FUNDS
Article first published online: 10 JUL 2013
© The Journal of Risk and Insurance
Journal of Risk and Insurance
How to Cite
Fong, J. H., Piggott, J. and Sherris, M. (2013), LONGEVITY SELECTION AND LIABILITIES IN PUBLIC SECTOR PENSION FUNDS. Journal of Risk and Insurance. doi: 10.1111/j.1539-6975.2013.12005.x
- Article first published online: 10 JUL 2013
- Australian Research Council Centre of Excellence in Population Ageing Research. Grant Number: CE110001029
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.