Longevity risk transfer is a popular choice for annuity providers such as pension funds. This paper formalizes the trade-off between the cost and the risk relief of such choice, when the annuity provider uses value-at-risk to assess risk. Using first-order approximations we show that, if the...

This chapter documents the substantial decline in traditional sources of longevity insurance, and shows that published statistics on the individual annuity market greatly overstate its size and growth. It considers whether the decline in annuitization rates is cause for concern. It then...

Studying the age-dimension of the probability distribution of pensions while assuming steadily rising real wages and time-invariant benefit-rules, two factors play important roles: (i) the weight of the wages in indexation of benefits in progress; (ii) the longevity gap. Factor (i) acts against...

A basic function of public pension systems is to guarantee a satisfactory old-age income for short-sighted low earners. In proportional (i.e., earnings-related) systems, this requires a sufficiently high contribution rate. At the same time, there should be a cap on the pension contribution base...