Longevity Risk (2nd Edition)
First published:
ISBN: 9781782723882
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Canadian Pensioner Longevity Risk
Richard Brown and Brent Simmons
Foreword
Introduction
Ageing Populations and Changing Demographics
Determinants of Changes in Life Expectancy
Magnitude of the Longevity Issue
Pricing Longevity Risk: Establishing the Base Mortality Level
An Introduction to Credibility Theory
Projecting Future Mortality
Modelling Longevity Risk under a One-Year VaR Framework
Risk Transfer for Pension Schemes
De-Risking Insured Annuity Portfolios
Hedging Longevity Risk through Reinsurance
Commercial Aspects of Longevity Reinsurance
Extreme Mortality Risk as a Natural Hedge?
Capital Markets and Longevity Risk Transfer
Longevity Indices
Longevity Policy Committee
Legal Considerations and Challenges in Longevity Risk Transactions
Pensions and Longevity in the US
Canadian Pensioner Longevity Risk
The Dutch Pensions and Longevity Insurance Market
In Canada, as in other developed countries, the pension industry has experienced significant changes since the beginning of the 21st century. Declining and persistently low interest rates, combined with significant equity market volatility, have resulted in many pension plan sponsors becoming much more focused on risk management and risk mitigation, which has in turn led to a much greater appreciation and awareness of longevity risk.
The Canadian pension industry is often compared with that of the UK, with the anecdotal comment that it tends to be five to ten years behind it. While this may not hold true for all aspects of the Canadian pension industry, it does when it comes to how pension plan sponsors think about and manage longevity risk. While the UK has, by far, been the global leader in the management of pensioner longevity risk, Canada has led North America in terms of greater recognition of longevity risk by pension plans and longevity-only risk transfer transactions.
In this chapter we give an overview of the different components of the Canadian pension system, historical Canadian longevity experience and expectations and the development of the Canadian longevity
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