CLIMATE-ADJUSTED LONGEVITY RISK ON SECOND PILLAR PENSION SYSTEM MODELLING: TURKIYE CASE

Date

2025-9-1

Author

Narlıoğlu, Tuğba

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This thesis aims to assess the longevity risk in the second pillar pension system (SPPS) by combining demographic mortality modelling with climate-driven mortality estimation. In the case of Turkiye, its demographic data is implemented within a two-stage stochastic framework. First, a coherent multi-population mortality model (Li–Lee, 2005) is applied to Turkish mortality data (2013–2024), and its period index is extended with ARIMA to 2040. Then, a daily Distributed Lag Nonlinear Model (DLNM) estimates the number of temperature-attributable deaths by studying the temperature and mortality data. Cohort life tables are then constructed to assess the differences in life expectancy and the present value of annuity obligations between scenarios with and without temperature effects. This integrated approach is novel in merging the Li–Lee coherent framework with high-frequency climate exposure analysis with DLNM for pension forecasting. This novel combination of Li–Lee and DLNM shows that even modest climate impacts can significantly influence longevity (mortality) projections and the actuarial liability valuations of SPPS in Turkiye.

Subject Keywords

Second Pillar Pension System, Longevity Risk, Temperature-Attributable Mortality, Li–Lee Model, Distributed Lag Non-Linear Model (DLNM), Mortality Projection, Climate Change

URI

https://hdl.handle.net/11511/115679

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Graduate School of Applied Mathematics, Thesis