Publicação
The impact of COVID-19 on the liabilities of defined benefit pension plans in the UK
| dc.contributor.advisor | Simões, Onofre Alves | |
| dc.contributor.author | Borges, Andreia Vanessa Martins | |
| dc.date.accessioned | 2025-01-08T13:36:01Z | |
| dc.date.available | 2025-01-08T13:36:01Z | |
| dc.date.issued | 2024-10 | |
| dc.description | Mestrado Bolonha em Matemática Financeira | pt_PT |
| dc.description.abstract | From 2020 to 2023, the world was affected by a pandemic, Covid-19, which caused a significant number of deaths, including in the UK. The current situation is no longer consider as a pandemic, although the virus continues to cause some deaths. However, the number of deaths is lower than at the beginning of the pandemic. The mortality during the pandemic had a significant impact on the Liabilities of DB Schemes in the UK due to its unexpected level. As a result, the actuaries had to make more considerate decisions regarding on the application of mortality assumptions, given the uncertainty of the future. It is not clear whether the mortality rates will rise again or decline in line with pre-pandemic levels. This report uses the CMI model, which is applied by the majority of UK pension schemes. The CMI model is a mortality projection model that uses mortality data from England and Wales. In this report, the models are used between 2019 and 2023 to understand the behaviour of Liabilities in DB Schemes in the pre and during Covid-19 periods. Consequently, the weights of the data, the Long-Term rate and the Initial Addition rate for each CMI model is modified. This work compares the impact of the pandemic on Liability by sex. Three distinct populations have been created, each containing the same data, apart from the sex variable. The first population assume that all members are males; the second population assume that all members are females; and the third population assume the actual sex provided by WTW. The impact on Liability compared to 2019 is more pronounced for males than for females. The lowest Liability for males is observed when the CMI_2021 is used at full weight, with an impact of -6.37%. For females it is observed when the CMI_2022 is used at full weight, with an impact of -5.21%. The biggest Liability is observed when the CMI_2021 is used with a LTR of 1.50% and an A of 1%, resulting in an increase of 3.17% for males and 3.04% for females. The impacts observed in the third population are within the range of impacts observed in the other two populations, as expected. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Borges, Andreia Vanessa Martins (2024). “The impact of COVID-19 on the liabilities of defined benefit pension plans in the UK”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/96969 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Instituto Superior de Economia e Gestão | pt_PT |
| dc.subject | CMI | pt_PT |
| dc.subject | Covid-19 | pt_PT |
| dc.subject | UK Pension Schemes | pt_PT |
| dc.subject | Mortality Rate | pt_PT |
| dc.subject | Mortality Impact | pt_PT |
| dc.title | The impact of COVID-19 on the liabilities of defined benefit pension plans in the UK | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |