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Measuring the impact of mortality experience on an actuarial valuation
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Ao longo das décadas mais recentes, e até 2011, as taxas de mortalidade diminuíram muito mais rapidamente do que as projeções existentes levavam a crer. A partir de 2011, contudo, tem-se observado que o decréscimo, embora continue, se processa agora a um ritmo muito mais lento, um fenómeno que a partir de 2015 se tornou um tópico relevante para todos os interessados nas questões demográficas (CMI and SIAS (2017)). Entre estes interessados estão as instituições cujas responsabilidades são dependentes de sobrevivência, como a Segurança Social, ou os responsáveis por planos de pensões.
Neste estudo, explora-se o impacto de se considerar a própria experiência de mortalidade do plano, em conjunto com a ainda incipiente análise da mortalidade por código postal, na definição de pressupostos prudentes de mortalidade. Procura assim ter-se em atenção a tendência recente, e inesperada, nas melhorias da mortalidade e capturar o facto de que tais melhoramentos podem estar a atenuar-se e não a robustecer-se. Num estudo de caso, procede-se à avaliação de um plano de pensões e, apresentam-se propostas para a revisão dos pressupostos em vigor. Analisam-se ainda as taxas históricas de mortalidade adotadas pelo plano nos últimos dezessete anos e a progressão da esperança de vida dos seus membros. Com isso, consegam-se a capturar a tendência recente de mortalidade, o que sugere que os pressupostos de mortalidade do plano refletem a mortalidade observada na população geral do UK. Para realização do trabalho, foi utilizado o software EuVal e Demographic Agility da Willis Towers Watson.
For the past decades, mortality rates were observed to decrease faster than was projected. However, after 2011, it experienced a slower decrease which has been significantly highlighted since the first quarter of 2015 (CMI and SIAS (2017)). Choosing appropriate mortality assumptions have therefore become of crucial importance to institutions whose liabilities are contingent on survival, like pension schemes. In this essay, we explored the impact of a mortality experience analysis in conjunction with a postcode mortality analysis, in setting prudent mortality assumptions, wherein we discussed the recent unusual trend in mortality improvements and the fact that for the first time we may start to see mortality assumptions weakening than strengthening. We further quantified this impact with the gain (or loss) resulting from adopting the mortality assumptions agreed at the previous valuation. In particular, we focused our analysis on the funding valuation of an existing defined benefit pension scheme and, from our analysis, proposed mortality assumptions for the current valuation. We also analysed the historical mortality rates adopted by the scheme over the last seventeen years and the progression in life-expectancies of scheme members resulting from these assumptions. With this, we were able to capture the recent trend in mortality, which suggests the scheme's mortality assumptions reflect the actual mortality observed in the general UK population. Statistical methods were used to test the validity of the results. We made use of the Demographic Agility tool and the EuVal software from Willis Towers Watson for our analysis.
For the past decades, mortality rates were observed to decrease faster than was projected. However, after 2011, it experienced a slower decrease which has been significantly highlighted since the first quarter of 2015 (CMI and SIAS (2017)). Choosing appropriate mortality assumptions have therefore become of crucial importance to institutions whose liabilities are contingent on survival, like pension schemes. In this essay, we explored the impact of a mortality experience analysis in conjunction with a postcode mortality analysis, in setting prudent mortality assumptions, wherein we discussed the recent unusual trend in mortality improvements and the fact that for the first time we may start to see mortality assumptions weakening than strengthening. We further quantified this impact with the gain (or loss) resulting from adopting the mortality assumptions agreed at the previous valuation. In particular, we focused our analysis on the funding valuation of an existing defined benefit pension scheme and, from our analysis, proposed mortality assumptions for the current valuation. We also analysed the historical mortality rates adopted by the scheme over the last seventeen years and the progression in life-expectancies of scheme members resulting from these assumptions. With this, we were able to capture the recent trend in mortality, which suggests the scheme's mortality assumptions reflect the actual mortality observed in the general UK population. Statistical methods were used to test the validity of the results. We made use of the Demographic Agility tool and the EuVal software from Willis Towers Watson for our analysis.
Descrição
Mestrado em Actuarial Science
Palavras-chave
Mortalidade Melhoramento na mortalidade Análise pelo Código Postal Experiência de mortalidade Mortality Mortality Improvements Postcode Analysis Morality Experience
Contexto Educativo
Citação
Ndayong, Laura Tchouache (2017). "Measuring the impact of mortality experience on an actuarial valuation". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão