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Longevity Risk and the Consequences for the Actuary

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Master_Thesis_David_Plomp.pdf (975.8 KB)

These file attachments have been under embargo and were made available to the public after the embargo was lifted on 1 May 2009.

Author: Plomp, D.J.
Faculty:Electrical Engineering, Mathematics and Computer Science
Department:Delft Institute of Applied Mathematics
Type:Thesis
Date:2009-04-08
Embargo lifted:2009-05-01
Keywords: longevity · actuary · pension fund
Rights: (c) 2009 Plomp, D.J.

Abstract

The research is done at Hewitt Associates, Amsterdam.
At Hewitt I investigated the consequences of longevity risk. Using the well known model of Lee-Carter, a prognosis of future life-expectancy in the Netherlands is constructed. Then the financial consequences for Dutch pension funds are examined, in particular when its participants become older as expected.

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