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Pension plan valuation and dynamic mortality tables

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Cossette, Hélène [UCL] Delwarde, Antoine [UCL] Denuit, Michel [UCL] Guillot, Frédérick [] Marceau, Etienne [UCL]

It is now well documented that human mortality globally declined during the course of the twentieth century. These mortality improvements pose a challenge for pricing and reserving in life insurance and for the management of public pension regimes. Assuming a further continuation of the stable pace of mortality decline, a Poisson log-bilinear projection model is applied to population mortality data to forecast future death rates. Then a relational model embedded in a Poisson regression approach is used to merge a dynamic mortality table based on data of a large population (in this case the Canadian province of Quebec) to mortality data of a given pension plan (here the Re´gie des Rentes du Que´bec) to create another dynamic mortality table, which can be used to make any assessments on the total costs of the pension plan. We provide at the end numerical examples that illustrate the impact of mortality improvements on a pension plan.

Document type Article de périodique (Journal article)
Publication date 2007
Language Anglais
Journal information "North American Actuarial Journal" - Vol. 11, no. 2, p. 1-34 (2007)
Peer reviewed yes
Publisher Society of Actuaries ((United States) Schaumburg)
issn 1092-0277
Publication status Publié
Affiliation UCL - EUEN/STAT - Institut de statistique
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Bibliographic reference Cossette, Hélène ; Delwarde, Antoine ; Denuit, Michel ; Guillot, Frédérick ; Marceau, Etienne. Pension plan valuation and dynamic mortality tables. In: North American Actuarial Journal, Vol. 11, no. 2, p. 1-34 (2007)
Permanent URL http://hdl.handle.net/2078.1/106572