The Effect of Increasing Longevity on Pension System

Student: Ryabkov Ivan

Supervisor: Vladimir Viktorovich Novikov

Educational Programme: Economics: Research Programme (Master)

Year of Graduation: 2016

The main focus of the research is longevity risk which is analyzed from perspective of pension plans and annuity providers using risk-management approaches. The dissertation consists of five chapters. The first one presents the recent trends in life expectancy in Russia and other countries. In the second chapter we define longevity risk and other key terms as well as discuss different approaches to modelling longevity risks. In the next chapter we present and compare 3 different mortality projection models Lee-Carter, Cairns-Blake-Dowd and CMI model (Continuous Mortality Investigation). In the fourth chapter, we use those models to assess longevity risk on Russian demographic data. In the last chapter, we discuss solutions for mitigating longevity risk with the main focus on longevity transfer instruments.

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