2012.04.18 - IMF_April_2012_text
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2012.04.18 - IMF_April_2012_text


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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
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