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Systematic and nonsystematic mortality risk in pension portfolios. (English) Zbl 1412.91029

Summary: We study the effects of nonsystematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but nonsystematic risk diminishes rapidly as the number of members increases. Systematic mortality risk, on the other hand, is a significant source of risk in a pension portfolio.

MSC:

91B30 Risk theory, insurance (MSC2010)
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