Nikhil Kapoor
Title: Impact of Asset Modeling Choices on Lifetime Pension Pools
Date: Wednesday, March 13th, 2024
Time: 1:00pm
Location: LIB 7200 & Zoom
Supervised by: Dr. Barbara Sanders and Dr. Jean-François Bégin
Abstract: In this study, we compare the pattern of benefit payments of a lifetime pension pool, following the framework of Piggott et al. (2005), under different risky asset models for homogeneous and heterogeneous membership profiles. The mortality experience of the lifetime pension pool is projected using the Lee–Carter model, and the investment return experience follows the lognormal, AR–GARCH, and RSLN models. We observe that the average benefit payments remain stable over time under all demographic assumptions, except for a hump in average benefits at older ages in a closed pool, coinciding with increased benefit volatility. From an actuary’s perspective, it is important to consider different investment return models in open pools as the pattern of projected benefits differs materially. By contrast, any of the asset models considered in this study would be suitable for a closed pool.