2012.04.18 - IMF_April_2012_text
DisciplinaEconomia Monetária683 materiais • 15.111 seguidores
at age 63 increases pension liabilities by approximately 3 percent.35 35A substantial number of pension plans do not specify the actuarial table used, which potentially biases the results. However, if all those plans are assumed to use the latest table (the strongest assumption possible), the results of the regression are substantially the same. Table 4.5. The Impact of Longevity Risk on Pension Liabilities Coefficient log (discount rate) \u20130.945*** log (participants) 0.914*** log (benefit) 0.519*** Longevity 0.03*** Observations 89552 R-squared 0.742 Source: IMF staff calculations. Note: The initial estimation of equation (4.4) included the interaction term between longevity and log(discount rate), as specified. However, the high correlation between longevity, log(discount rate), and the interaction term rendered all three variables statistically insignificant in this specification. Subsequently, the interaction term was excluded; these results are reported in the table. *** p <0.001. C H A P T E R 4 T h e F i n A n c i A l i m pAc T o F lo n g e v i T y R i s k International Monetary Fund | April 2012 29 References Antiretroviral Therapy Cohort Collaboration, 2008, \u201cLife Expectancy of Individuals on Combination Antiretrovi ral Therapy in HighIncome Countries: A Collaborative Analysis of 14 Cohort Studies,\u201d The Lancet, Vol. 372, Issue 9635, pp. 293\u201399. Antolin, Pablo, 2007, \u201cLongevity Risk and Private Pensions,\u201d OECD Working Papers on Insurance and Private Pensions No. 3 (Paris: Organization for Economic Cooperation and Development). Aon Hewitt, 2011, \u201cGlobal Pension Risk Survey 2011: Europe Survey Findings.\u201d www.aon.com/humancapital consulting/thoughtleadership/retirement/Global_ Pension_risk_report_2011_Europe.jsp. Biffis, Enrico, and David P. Blake, 2009, \u201cMortality Linked Securities and Derivatives.\u201d http://ssrn.com /abstract=1340409. Biffis, Enrico, David Blake, Lorenzo Pitotti, and Ariel Sun, 2011, \u201cThe Cost of Counterparty Risk and Collateral ization in Longevity Swaps,\u201d Discussion Paper PI1107 (London: Pensions Institute, Cass Business School, City University London). www.pensionsinstitute.org /workingpapers/wp1107.pdf. Blake, David, Tom Boardman, and Andrew Cairns, 2010, \u201cSharing Longevity Risk: Why Governments Should Issue Longevity Bonds,\u201d Discussion Paper PI1002 (London: Pensions Institute, Cass Business School, City University London). www.pensionsinstitute.org/workingpapers /wp1002.pdf. Bongaarts, John, and Rodolfo A. Bulatao, eds., 2000, Beyond Six Billion: Forecasting the World\u2019s Population, Panel on Population Projections, Committee on Population, Com mission on Behavioral and Social Sciences and Education (Washington: National Academy Press). www.nap.edu /catalog.php?record_id=9828. Borella, Margherita, and Elsa Fornero, 2009, \u201cAdequacy of Pension Systems in Europe: An Analysis Based on Com prehensive Replacement Rates,\u201d ENEPRI Research Report No. 68, European Network of Economic Policy Research Institutes. http://aei.pitt.edu/10967/1/1837.pdf. Brooks, Robin, 2006, \u201cDemographic Change and Asset Prices,\u201d in Demography and Financial Markets, proceed ings of a conference held on July 23\u201325, sponsored by the Australian Treasury, the Reserve Bank of Australia, and the G20, ed. by Christopher Kent, Anna Park, and Daniel Rees (Sydney: Reserve Bank of Australia), pp. 235\u201361. www.rba.gov.au/publications/confs/2006. Byrne, Alistair, and Debbie Harrison, 2005, \u201cIs Longevity Risk a OneWay Market?\u201d summary of First Interna tional Conference on Longevity Risk and Capital Market Solutions, held on February 18, 2005, London (London: Pensions Institute). www.pensionsinstitute.org /conferences.html. Caballero, Ricardo J., 2006, \u201cOn the Macroeconomics of Asset Shortages,\u201d NBER Working Paper 12753 (Cam bridge, Massachusetts: National Bureau of Economic Research). Cairns, Andrew J.G., David Blake, Kevin Dowd, Guy D. Coughlan, David Epstein, Alen Ong, and Igor Balevich, 2009, \u201cA Quantitative Comparison of Stochastic Mortality Models Using Data from England, Wales and the United States,\u201d Discussion Paper PI0701 (London: Pensions Insti tute, Cass Business School, City University London). www.pensionsinstitute.org/workingpapers/wp0701.pdf. Cherry, Harold, 1971, \u201cThe 1971 Individual Annuity Mortality Table,\u201d Transactions of Society of Actuaries, Vol. 23, Pt.1, No. 67, pp. 475\u201396. www.soa.org/library /research/transactionsofsocietyofactuaries/1971/january /tsa71v23pt1n6723.pdf. Continuous Mortality Investigation (CMI), 2004, \u201cPro jecting Future Mortality: A Discussion Paper,\u201d Work ing Paper 3 (London: The Actuarial Profession). www.actuaries.org.uk/researchandresources/pages /continuousmortalityinvestigationworkingpapers. Coughlan, Guy, Marwa KhalafAllah, Yijing Ye, Sumit Kumar, Andrew J.G. Cairns, David Blake, and Kevin Dowd, 2011, \u201cLongevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness,\u201d North American Actuarial Journal, Vol. 15, No. 2, pp. 150\u201376. Cox, Samuel H., and Yijia Lin, 2007, \u201cNatural Hedging of Life and Annuity Mortality Risks,\u201d North American Actu- arial Journal, Vol. 11, No. 3, pp. 1\u201315. Currie, Iain D., Maria Durban, and Paul H.C. Eilers, 2004, \u201cSmoothing and Forecasting Mortality Rates,\u201d Statistical Modelling, Vol. 4, No. 4, 279\u201398. http://smj.sagepub.com /content/4/4/279.short. Denuit, Michel, Steven Haberman, and Arthur Renshaw, 2011, \u201cLongevityIndexed Life Annuities,\u201d North American Actuarial Journal, Vol. 15, No. 1, pp. 97\u2013111. de Witt, Johan, 1671, \u201cValue of Life Annuities in Proportion to Redeemable Annuities,\u201d pp. 232\u201350 (translated from Dutch), in Frederick Hendriks, 1852, \u201cContributions of the History of Insurance and the Theory of Life Contingencies, with a Restoration of the Grand Pensionary De Wit\u2019s Trea tise on Life Annuities,\u201d Assurance Magazine, Vol. 2, No. 2., pp. 121\u201350, and No. 3, pp. 222\u201358. www.jstor.org/action /showPublication?journalCode=assurancemag. Disney, Richard, and Paul Johnson, eds., 2001, Pension Systems and Retirement Incomes across OECD Countries (Cheltenham, UK: Edward Elgar). G LO B A L F I N A N C I A L S TA B I L I T Y R E P O RT 30 International Monetary Fund | April 2012 Dowd, Kevin, David Blake, Andrew J.G. Cairns, and Paul Dawson, 2006, \u201cSurvivor Swaps,\u201d Journal of Risk and Insur- ance, Vol. 73, No. 1, pp. 1\u201317. Dushi, Irena, Leora Friedberg, and Anthony Webb, 2010, \u201cThe Impact of Aggregate Mortality Risk on Defined Benefit Pension Plans,\u201d Journal of Pension Economics and Finance, Vol. 503, No. 9, pp. 481\u2013503. Dushi, Irena, and Anthony Webb, 2006, \u201cRethinking the Sources of Adverse Selection in the Annuity Market,\u201d in Competitive Failures in Insurance Markets: Theory and Policy Implications, ed. by PierreAndré Chiappori and Chris tian Gollier (Cambridge, Massachusetts: MIT Press), pp. 185\u2013212. Eghbal, Media, 2007, \u201cItalian Ageing and Declining Popula tion Will Affect Consumption,\u201d Euromonitor International, September 21. http://blog.euromonitor.com/2007/09/italian ageinganddecliningpopulationwillaffectconsumption.html. Federal Register, 2007, \u201cUpdated Mortality Tables for Deter mining Current Liability,\u201d Department of the Treasury, Internal Revenue Service, 12 CFR Part 1, Final regula tions, Vol. 72, No. 22, pp. 4955\u201360 (February 2); also in Internal Revenue Bulletin, 2007, Bulletin No. 2007\u20139, February 26. www.irs.gov/irb/200709_IRB/ar07.html. Feyrer, James Donald, 2007, \u201cDemographics and Productiv ity,\u201d Review of Economics and Statistics, Vol. 89, Issue 1, pp. 100\u201309. Fong, Joelle H.Y., Olivia S. Mitchell, and Benedict S.K. Koh, 2011, \u201cLongevity Risk Management in Singapore\u2019s National Pension System,\u201d Journal of Risk and Insurance, Vol. 78, Issue 4, pp. 961\u201382. Greenlee, Harold R., Jr., and Alfonso D. Keh, 1971, \u201cThe 1971 Group Annuity Mortality Table,\u201d Transactions of Society of Actuaries, Vol. 23, Pt.1, No.