Measuring longevity risk on second pillar pension system: Turkey case

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Date

2018

Author

Açıkgöz, Gözde

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Pension systems, that have had the brightest period almost all over the world after World War II, began to have some difﬁculties with accessing maturity times of these systems. Financial crisis and doubts about the sustainability have caused countries to revise their pension systems. As a result, many countries have applied multi pillar pension system which was developed by the World Bank in 1994. Second pillar pension system (SPPS) is the second step of the multi pillar pension system. Today, longevity risk is one of the series problems that faced by pension systems because of the increasing life expectancies especially in the last few decades. Longevity risk refers to the uncertainty surrounding future developments in mortality and life expectancy. The aim of this study, to analyze all aspects of SPPS and longevity risk on this system, and also to evaluate the longevity risk on pensions in Turkey. For these purposes, ﬁrstly, pension systems and longevity risk are explained in detail. And then, SPPS pensions are calculated in 2057 when insured persons were assumed to retire. For pension calculations, gender speciﬁc life tables are generated with Lee-Carter Method. Then,Monte Carlo Simulation is applied in order to measure the longevity risk on pensions. Finally, sensitivity analysis are done to see the time effect on SPPS pensions.

Subject Keywords

Longevity., Social security., Pension trusts., Life expectancy., Pension trusts, IPension trusts

URI

http://etd.lib.metu.edu.tr/upload/12622074/index.pdf
https://hdl.handle.net/11511/27275

Collections

Graduate School of Applied Mathematics, Thesis

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Citation Formats

G. Açıkgöz, “Measuring longevity risk on second pillar pension system: Turkey case,” M.S. - Master of Science, Middle East Technical University, 2018.