Old-age provision: past, present, future. (English) Zbl 1394.91007

Summary: This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the past and current developments and necessary next steps for dealing with old-age provision. Topics include the pension funding gap, demographic and societal challenges, the valuation of pension liabilities, economic and regulatory capital models, and the role of financial markets.


91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
91B30 Risk theory, insurance (MSC2010)
91D20 Mathematical geography and demography
91G99 Actuarial science and mathematical finance
Full Text: DOI Link


[1] Basak, S; Shapiro, A, Value-at-risk-based risk management: optimal policies and asset prices, Rev Financ Stud, 14, 371-405, (2001)
[2] Bodie Z (2002) Life-cycle finance in theory and in practice. Boston University School of Management. Working paper No. 2002-02. Available at http://ssrn.com/abstract=313619. Accessed 14 June 2016
[3] Boumezoued A, El Karoui N, Loisel S (2015) Measuring mortality heterogeneity with multi-state models and interval-censored data. Working paper hal-01215350, Université de Lyon 1 · Zbl 1394.91192
[4] Brüggen L, Eberhardt W, Post T (2015) Mind the gap: identifying dimensions of heterogeneity between pension plan participants. Working paper, Maastricht University
[5] Cairns, A; Blake, D; Dowd, K, A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration, J Risk Insur, 73, 687-718, (2006)
[6] Cairns A, Blake D, Dowd K, Kessler A (2016) Phantoms never die: living with unreliable mortality data. J R Stat Soc Ser A, (To appear) · Zbl 1317.91067
[7] Cutler D, Deaton A, Lleras-Muney A (2006) The determinants of mortality. Technical report, National Bureau of Economic Research
[8] Danielsson J, Embrechts P, Goodhart C, Keating C, Muennich F, Renault O, Shin H (2001) An academic response to Basel II. Financial Markets Group, London School of Economics
[9] Debonneuil E, Planchet F, Loisel S (2015) Do actuaries believe in longevity deceleration? Working paper, Université de Lyon 1 · Zbl 1400.91244
[10] De Grey A, Rae M (2007) Ending aging: the rejuvenation breakthroughs that could reverse human aging in our lifetime. Griffin, New York
[11] Lazar, D; Denuit, M, A multivariate time series approach to projected life tables, Appl Stoch Models Bus Ind, 25, 806-823, (2009) · Zbl 1224.91069
[12] Kraft, H; Steffensen, M, A dynamic programming approach to constrained portfolios, Eur J Oper Res, 229, 453-461, (2013) · Zbl 1317.91067
[13] Lee, R; Carter, L, Modeling and forecasting US mortality, J Am Stat Assoc, 87, 659-671, (1992) · Zbl 1351.62186
[14] Lindahl-Jacobsen, R; Rau, R; Jeune, B; Canudas-Romo, V; Lenart, A; Christensen, K; Vaupel, J, Rise, stagnation, and rise of danish women’s life expectancy, Proc Natl Acad Sci, 113, 4015-4020, (2016)
[15] Lutz, W; Samir, K, Global human capital: integrating education and population, Science, 333, 587-592, (2011)
[16] Lynch, J; Netemeyer, R; Spiller, S; Zammit, A, A generalizable scale of propensity to plan: the long and the short of planning for time and for money, J Consum Res, 37, 108-128, (2010)
[17] Merton, R; Perold, A, Theory of risk capital in financial firms, J Appl Corp Finance, 6, 1745-6622, (1993)
[18] Moog S, Weisser V, Raffelhüschen B (2014) Altersvorsorge und die Schweizer Generationenbilanz—Lasten in die Zukunft verschoben. Study report, UBS · Zbl 1317.91067
[19] Ntamjokouen, A; Haberman, S; Consigli, G, Modeling multi-population life expectancy: a cointegration approach, Insur Mark Co: Anal Actuar Comput, 5, 12-23, (2014)
[20] OECD (2012) OECD Roadmap for the good design of defined contribution pension plans
[21] OECD (2014) OECD pensions outlook 2014
[22] OECD (2016) Key pension indicators on pension outcomes and pensions. Available at http://www.oecd.org/els/public-pensions/indicators.htm. Accessed 14 June 2016 · Zbl 1224.91069
[23] Oeppen, J; Vaupel, J, Broken limits to life expectancy, Science, 296, 1029-1031, (2002)
[24] Prescott, E; Osler, M; Hein, HO; Borch-Johnsen, K; Schnohr, P; Vestbo, J, Life expectancy in danish women and men related to smoking habits: smoking may affect women more, J Epidemiol Community Health, 52, 131-132, (1998)
[25] PwC (2014) Asset Management 2020 - A Brave New World. http://www.pwc.com/gx/en/industries/financial-services/assetmanagement/publications/asset-management-2020-a-brave-new-world.html. Accessed 14 June 2016
[26] Renshaw, A; Haberman, S, A cohort-based extension to the Lee-Carter model for mortality reduction factors, Insur Math Econ, 38, 556-570, (2006) · Zbl 1168.91418
[27] Salhi Y, Loisel S (2011) Longevity basis risk modeling: a co-integration based approach. Technical report, Université Lyon 1
[28] Samir K, Lutz W (2016) The human core of the shared socioeconomic pathways: Population scenarios by age, sex and level of education for all countries to 2100. Glob Environ Change, (To appear)
[29] Towers Watson (2015) Global Pension Asset Study 2015. https://www.towerswatson.com/en/Insights/IC-Types/Survey-Research-Results/2015/02/Global-Pensions-Asset-Study-2015. Accessed 14 June 2016
[30] Wilmoth, J; Horiuchi, S, Rectangularization revisited: variability of age at death within human populations, Demography, 36, 475-495, (1999)
[31] Wilson T (2015) Value and Capital Management: A Handbook for the Finance and Risk Functions of Financial Institutions. Wiley, Chichester
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.