Longevity risk—Its financial impact on pensions

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dc.contributor.authorNantwi, N.P.A.
dc.contributor.authorLotsi, A.
dc.contributor.authorDebrah, G.
dc.date.accessioned2022-10-05T09:09:28Z
dc.date.available2022-10-05T09:09:28Z
dc.date.issued2022
dc.descriptionResearch Articleen_US
dc.description.abstractWe study the financial impact of longevity risk on defined benefit (DB) pension plan liabilities using the 2010 Ghana population census, and the Lee-Carter model. We compare the usual Lee-Carter model to an extended version. While we observe that Ghana’s mortality has decreased, our results show that longevity risk raises the cost of liability. We propose that defined benefit scheme trustees and fund managers, assess their funds and act on the assets available to them in a Liability-Driven Investment (LDI) Strategy tailored to the dynamics of their scheme - since there is no single best method in LDI strategy. This study may help policymakers or practitioners in their efforts to mitigate the effects of longevity risk.en_US
dc.identifier.otherhttps://doi.org/10.1016/j.sciaf.2022.e01241
dc.identifier.urihttp://localhost:8080/handle/123456789/38324
dc.language.isoenen_US
dc.publisherScientific Africanen_US
dc.subjectLee-Carter modelen_US
dc.subjectSingular value decomposition (SVD)en_US
dc.subjectLiability driven strategy (LDI)en_US
dc.subjectDefined benefit (DB)en_US
dc.subjectStochastic processen_US
dc.subjectForecasten_US
dc.titleLongevity risk—Its financial impact on pensionsen_US
dc.typeArticleen_US

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