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Recreating Sustainable RetirementResilience, Solvency, and Tail Risk$
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Olivia S. Mitchell, Raimond Maurer, and P.Brett Hammond

Print publication date: 2014

Print ISBN-13: 9780198719243

Published to Oxford Scholarship Online: December 2014

DOI: 10.1093/acprof:oso/9780198719243.001.0001

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Modeling and Management of Longevity Risk

Modeling and Management of Longevity Risk

(p.71) Chapter 5 Modeling and Management of Longevity Risk
Recreating Sustainable Retirement

Andrew Cairns

Oxford University Press

This chapter considers recent developments in the modeling and management of longevity risk: the risk that, in aggregate, people live longer than anticipated. This chapter reviews the use of stochastic models for the measurement and management of longevity risk. We examine whether these models are robust relative to a variety of inputs, which is particularly important when formulating a risk management strategy. On the modeling front much still needs to be done on robust multi-population mortality models, and on the risk management front we need a better understanding of the nature of the objectives of pension plans that need to be optimized.

Keywords:   Longevity risk, stochastic mortality models, robustness, risk management, pension risk management, mortality shocks

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