CDHA CAAR

“NDC Schemes and Heterogeneity in Longevity: Proposals for Redesign,” by Robert Holzmann, Jennifer Alonso-García, Heloise Labit-Hardy, and Andres M. Villegas (Discussion Paper No. 11193, December 2017, .pdf format, 26p.). Note: Links to the abstract and the full text of the paper available at:

legacy.iza.org/en/webcontent/publications/papers/viewAbstract?dp_id=11193

“The Rising Longevity Gap by Lifetime Earnings: Distributional Implications for the Pension System,” by Peter Haan, Daniel Kemptner, and Holger Luthen (Discussion Paper No. 11121, October 2017, .pdf format, 29p.). Note: Links to the abstract and the full text of the paper available at:

legacy.iza.org/en/webcontent/publications/papers/viewAbstract?dp_id=11121

A. “Longevity Risk and Capital Markets: The 2014-15 update,” by David Blake and Marco Morales (PI-1702, February 2017, .pdf format, 19p.). Note: There is no abstract for this paper.

www.pensions-institute.org/workingpapers/wp1702.pdf

B. “How to measure and compare pension expenditures in cross-country analyses? Some methodological remarks,” by Edyta Marcinkiewicz and Filip Chybalski (PI-1701, January 2017, .pdf format, 17p.).

Abstract
In our paper, we discuss pension expenditure as one of the main indicators of pension system sustainability. However, given the large demographic diversity between the European countries, public spending on pensions is hard to compare. We proposed two alternative indicators visualising the level of pension expenditure. The first is the quotient of pension expenditure and GDP and old-age dependency ratio. The second replaces the old-age dependency ratio with the proportion of population aged 65 and over. Such standardisation of the commonly used pension expenditure to GDP indicator makes it possible to provide for the demographic effect and this way it facilitates a comparison of pension expenditures between countries with very different population structures.

www.pensions-institute.org/workingpapers/wp1701.pdf

“Addressing Longevity Heterogeneity in Pension Scheme Design and Reform,” by Mercedes Ayuso, Jorge Miguel Bravo, and Robert Holzmann (Discussion Paper No. 10378, November 2016, .pdf format, 26p.). Note: Links to the abstract and the full text of the paper available at:

legacy.iza.org/en/webcontent/publications/papers/viewAbstract?dp_id=10378

“Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies,” by Andrew Hunt and David Blake (PI-1602, January 2016, .pdf format, 47p.).

Abstract:

Longevity risk has emerged as an important risk in the early 21st century for the providers of pension benefits and annuities. Any changes in the assumptions for future mortality rates can have a major financial impact on the valuation of these liabilities and motivates many of the longevity-linked securities that have been proposed to hedge this risk. Using the framework developed in Hunt and Blake (2015b), we investigate how these assumptions can change over a one-year period and the potential for hedging longevity risk in an illustrative annuity

www.pensions-institute.org/workingpapers/wp1602.pdf

“The Return on Social Security with Increasing Longevity,” by Markus Knell (Working Paper No. 201, May 2015, .pdf format, 31p.).

www.oenb.at/en/Publications/Economics/Working-Papers/2015/working-paper-201.html

A. “Longevity Risk and Capital Markets: The 2013-14 Update,” by Ken Seng Tang, David Blake and Richard MacMinn (PI-1502, April 2015, .pdf format, 28p.). Note: There is no abstract for this paper.

www.pensions-institute.org/workingpapers/wp1502.pdf

B. “The Replacement Rate: An Imperfect Indicator of Pension Adequacy in Cross Country Analyses,” by Filip Chybalski & Edyta Marcinkiewicz (PI-1501, February 2015, .pdf format, 22p.).

Abstract:

Pension systems are usually evaluated from the perspective of two basic criteria: pension adequacy and financial sustainability. The first criterion concerns the level of pension benefits and protection of the elderly from poverty. The second criterion applies to financial liquidity. This paper is primarily of methodological nature. We discuss the problem of measuring pension adequacy, focusing mainly on the replacement rate, which, defined in a number of ways, is themost commonmeasure of pension adequacy. However, as we argue in this paper, it covers only one of its dimensions, namely consumption smoothing. Meanwhile, an equally important dimension, often discussed in the literature and included in most definitions of pension adequacy, is protection of old-age pensioners from poverty. Accordingly, we have proved the thesis that the replacement rate is not a sufficient measure of broadly understood pension adequacy in cross-country studies. Consequently, we have proposed alternative (or possibly complementary) measures called the synthetic pension adequacy indicators (SPAI1- 3), defined in basic form as a quotient of relative median income and the at-risk-of-poverty rate. These indicators provide for both the above-mentioned dimensions of adequacy and, according to statistical analysis, also represent them very well. Moreover, the indicators, calculated separately for men and for women, enables evaluation of the third dimension of pension adequacy, namely gender-related differences in pension adequacy.

www.pensions-institute.org/workingpapers/wp1501.pdf