Measuring longevity risk on second pillar pension system: Turkey case

Download

index.pdf

Date

2018

Author

Açıkgöz, Gözde

Metadata

Show full item record

Item Usage Stats

200
views

55
downloads

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

Suggestions

OpenMETU
Core

CPPI strategy on defined contribution pension scheme under cushion option and discrete time trading setting Gülveren, Anıl; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016) A Defined Contribution (DC) pension plan requires periodic contributions for a certain time in order to aggregate funds for the old ages. It enables the participant to pay a monthly/yearly premium whose valuation is done in financial markets. The choice of the market products (assets, bonds etc.) is processed by a centralized system at which a pension company/government has authority to manage the fund. Therefore, a risk management on the fund has to be taken into account. Such long term investment schemes ...
Housing finance in Turkey : The Role of Housing Loans Extended by Commercial Banks Aydın, Şadiye; Şengül, Hüseyin Tarık; Department of Urban Policy Planning and Local Governments (2006) With the 1980s, as a result of economic and financial deregulation policies, housing finance systems in most countries have had great transformations and have become market-oriented. Recently, in Turkey, a draft law was submitted to the parliament which can be regarded as an attempt to integrate housing finance to capital markets through the establishment of secondary market for housing loans extended by commercial banks. In this thesis, it is aimed to evaluate the role of housing loans extended by commerci...
Neoliberal pension reform as a class project: the cases of Chile and Turkey Yılmaz Akın, Burcu Gökçe; Bedirhanoğlu Toker, Pınar; Department of International Relations (2014) The purpose of the thesis is to demonstrate the validity of David Harvey’s argument that neoliberalism is a class project in relation to the transformation of pension systems in the countries of the South that have been forced by the International Financial Institutions since the 1980s. The proposed reform has tried to be justified by a discourse that has emphasized the need for sustainable pension systems in the face of population ageing while population ageing has indeed been one of the most important dem...
Secure mail gateway Tanık, Güven Orkun; Özgit, Attila; Department of Computer Engineering (2010) Past few decades witnessed the birth and explosive growth of the internet and the communications –most notably the electronic mail- through it. Studies indicate that although security measures are deployed, their usage is very limited and problematic. This work proposes a system to address some of the shortcomings of present mail security systems, such as underutilization, complicated key management and unwanted immunization against filtering-scanning. A two-layer message encryption scheme with domain level...
Assessment of Longevity Risk on PensionFunds: Credibility Approach Yıldırım Külekci, Bükre (null; 2019-10-28) Over the last 100 years, there has been a steady decline in mortality rates. With the unexpected decrease in death rates; variability in the age of death declined and deaths are concentrated to the older years of life, therefore, causing deficits in the pooled funds of insurance and pension providers, which are built upon the underestimated rates. To correctly measure the effect of mortality rates on the financial stability of these providers, longevity risk should be taken seriously. This study aims to inv...

Citation Formats

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