DocumentCode
693911
Title
Longevity Risk and Capital Accumulation under the Current China Pension System
Author
Shiqiang Hu
Author_Institution
Zhejiang Univ. of Finance & Econ., Hangzhou, China
fYear
2013
fDate
14-16 Nov. 2013
Firstpage
315
Lastpage
318
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2013 Sixth International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-4799-4778-2
Type
conf
DOI
10.1109/BIFE.2013.67
Filename
6961145
Link To Document