Title :
Longevity Risk and Capital Accumulation under the Current China Pension System
Author_Institution :
Zhejiang Univ. of Finance & Econ., Hangzhou, China
Abstract :
This paper employs a stochastic OLG (overlapping-generations) model with time-varying instantaneous mortality rates to analyze the relationship between longevity risk and capital accumulation under the current China pension system. By employing a dynamic mortality table, our numerical simulation suggests that longevity risk does increase capital accumulation. Furthermore, we find that the current state pension arrangement cannot initiate capital accumulation.
Keywords :
demography; pensions; risk analysis; China pension system; capital accumulation; dynamic mortality table; instantaneous mortality rates; longevity risk; numerical simulation; pension arrangement; stochastic OLG model; stochastic overlapping-generation model; Analytical models; Economics; Numerical models; Pensions; Retirement; Sociology; Statistics; capital accumulation; dynamic mortality table; longevity risk;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2013 Sixth International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-4799-4778-2
DOI :
10.1109/BIFE.2013.67
