Forecasting pension release using a fund specific experience mortality model

  • Stijn Verhagen Stijn Verhagen

Mortality models that forecast deaths well can perform bad when predicting pension release. In this thesis we create two models that forecast pension release and one model that forecasts deaths. The three models are based on differences in mortality between income classes. All our data is from Dutch origin. We then develop two new backtesting methods to evaluate our models on forecasting pension release. We apply our model and on real fund data. To backtests quantify the difference between the models. Our results imply that there is no significant difference between our three models. After doing a robustness check we conclude that our results are robust.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2023-2027           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

B20180327_logo_PGB-Pensioendiensten_grijswaarden
B20160708_aegon
B20160708_maastricht university
B20160708_B20160615_Stichting-van-de-Arbeid-logo
B20160708_radboud
Bekijk al onze partners