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Population Ageing, Implications for Asset Values, and Impact for Pension Plans: An International Study

The Institute and Faculty of Actuaries (IFoA) is co-sponsoring an international research project, looking into the impact ageing populations have on asset values over long time periods and considering the potential impact on large pension plans in Canada, the UK and the United States. The research is being conducted by the University of Waterloo (Canada) and the University of Kent (UK)

The Population Ageing, Implications for Asset Values, and Impact for Pension Plans: An International Study is primarily funded by the Canadian Funding Body SSHRC, with additional financial support from the IFoA, the Society of Actuaries in the USA, the Canadian Institute of Actuaries, University of Waterloo and University of Kent.

As part of this wider project, the IFoA is funding a PhD student (Aniketh Pittea), based at the University of Kent, who is specifically focusing on:

  • developing a generic economic capital model of a large pension plan which can suitably be adapted to represent pension schemes in the UK, US, Canada and other developing countries
  • implementing and integrating the demographic and asset valuation models, developed during the other phases of the research initiative, in the economic capital model of the pension plan
  • analysing the impact and sensitivity of demographic structure and asset valuation models on the financial risk management of pension plan
  • suggesting alternative risk mitigating strategies that can be employed by pension plans to cope with the underlying risks.

The research project will break new ground by incorporating gender into an overlapping generations model to better understand the differences in retirement outcomes for males and females.  It is also set to include international capital flows in the analysis and will consider the impact on specific asset classes, such as equities, property and infrastructure.

The research findings will have important implications for pension funds, asset managers, and individuals. If asset prices are materially affected by an ageing population, then actuaries and risk managers need to incorporate this consideration into their work.

Latest events

Joint CIA, IFoA, SOA Webcast: Measuring Pension Plan Risk from an Economic Capital Perspective

Wednesday 15 May 2019 17:00 - 18:30 UK BST

Jointly sponsored by the Institute and Faculty of Actuaries, Society of Actuaries, and CIA, this webcast presented research that compares the risk profiles of pension plans in the UK, the US, and Canada. By the end of this session, attendees were able to:

Identify the key items that affect the financial risk of a defined benefit pension plan;
Compare the financial risk implications of different pension plan designs; and
Evaluate the impact of alternative asset mix policies on the financial risk of a pension plan.

Speakers: Stephen Bonnar (FCIA), University of Waterloo 
Aniketh Pittea and Pradip Tapadar, School of Mathematics, Statistics & Actuarial Science, University of Kent

About the webcast

Economic capital, the 0.5th percentile result of a stochastic projection, is the primary risk measure employed. The research examines not only the difference in economic capital requirements between typical plans in the three countries, but also its sensitivity to changes in asset allocation, contributions, and starting funded status.

The recording is now available to members in the VLE. If you have any questions regarding this webcast please email us. 

Latest news

We are delighted to announce that this research team were selected for a Best Paper Award at the 2018 International Congress of Actuaries in Berlin.

Countries with an ageing population are concerned that the expected drop in saving and investment will result in substantially diminished asset prices and compromised pension plans. This award-winning paper contributes to the quantification of the link between population structure and asset values, by modelling returns on assets in the presence of demographic change.

photo of best paper award at ICA

From left to right Lori Curtis, Kate Rybczynski, Steve Bonnar (all University of Waterloo), Jaideep Oberoi (University of Kent), award presenter (Juergen Bierbaum). Other co-authors not present: Miguel Leon-Ledesma (University of Kent) and Mark Zhou (CMHC). It was the ICA 2018 Best Paper Award - Demographic Change and Longevity and the presenter stated that one aspect of the paper which the committee liked was the way it combined economic models with actuarial science.

Commissioned by: The IFoA, Society of Actuaries, Canadian Institute of Actuaries, SSHRC, University of Waterloo and the University of Kent
Conducted by: The University of Waterloo and the University of Kent
Period of research: 2016 – 2019
Outputs:

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Contact Details

If you have any questions or wish to discuss any aspect of research carried out through the Actuarial Research Centre (ARC), please contact the Research and Knowledge Team.

arc@actuaries.org.uk

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Events calendar

  • Webinar Series: Risk and Investment Conference 2019, 17 June

    These are online webinar events
    17 June 2019

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    The IFoA’s Risk Management and Finance and Investment Boards are delighted to host a series of webinars covering a range of topical and trending topics ranging from climate related risks to Brexit.

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  • Pensions Conference 2019

    Bristol Marriott Hotel City Centre, 2 Lower Castle Street, Old Market, Bristol, BS1 3AD
    18-19 June 2019
    Spaces available

    Five plenaries and 13 workshops cover current topics and industry trends in the Pension sector with the opportunity to develop your network at the pre-conference evening dinner (18 June).  There is also a day ticket option available for the 19 June. 

  • KSS event – FinTech and The Actuarial Profession

    EY, Atria One, 144 Morrison Street, Edinburgh
    19 June 2019

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    This KSS talk from FinTech Scotland's CEO will explore the mission to create an integrated Fintech ecosystem through provision of funding, support, infrastructure and talent that recognises and responds to the needs of all stakeholders - and the overarching aim for Scotland to be one of the top 5 Fintech global leaders by 2020.

    To book your place, please email Barry_Shannon@standardlife.com 

  • Current Issues in General Insurance (CIGI) 2019

    Inmarsat, 99 City Road, London, EC1Y 1BJ
    19 June 2019

    Spaces available

    CIGI is a well-established one-day seminar designed to increase awareness and encourage discussion on a variety of topical issues across the general insurance industry. 

    There will be an excellent and diverse line-up of speakers to provide a variety of perspectives and challenge covering technical and professional areas. 

  • Cass Event – New Thinking about Deferred Annuities

    Cass Business School, Executive Education Facilities 200 Aldersgate St, London EC1A 4HD
    21 June 2019

    Spaces available

    Our motivation for discussing this important subject comes from some exciting recent research which has analysed the impact of behavioural factors on the decision to purchase an annuity. This work has shown that behavioural factors can explain the well-known low demand for immediate annuities but this research also identifies an important opportunity in relation to deferred annuities (DA). The research suggests that these factors lead to positive incentives to purchase a DA and that, for longer deferred periods, a DA could be an attractive product for both consumers and insurers.

  • IFoA/SAS Joint Professional Skills Training – Singapore

    Room 903, NTUC Centre, Level 9, One Marina Boulevard, Singapore 018989
    25 June 2019

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    The Institute and Faculty of Actuaries (IFoA) and Singapore Actuarial Society (SAS) are organising a joint Professional Skills Training (PST) in Singapore. This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Life, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • Webinar Series: Risk and Investment Conference 2019, 26 June

    These are online webinar events.
    26 June 2019

    Spaces available

    The IFoA’s Risk Management and Finance and Investment Boards are delighted to host a series of webinars covering a range of topical and trending topics ranging from climate related risks to Brexit.

  • AGM and Presidential Address 2019 + Volunteer and Member Drinks Reception

    The Hub  Castlehill Edinburgh EH1 2NE
    26 June 2019

    Spaces available

    Notice is hereby given that the ANNUAL GENERAL MEETING of the INSTITUTE AND FACULTY OF ACTUARIES will be held at The Hub, Edinburgh on Wednesday 26 June 2019 at 16.30 (Preceded by tea from 16.00) and followed by a PRESIDENTIAL ADDRESS given by John Taylor.

  • IFAM event - Actuarial Teachers’ & Researchers’ Conference 2019

    Institute for Financial and Actuarial Mathematics Department of Mathematical  Sciences The University of Liverpool Mathematical Sciences Building Peach Street Liverpool, L69 7ZL
    27 June 2019 - 29 June 2019

    Spaces available

    The Institute for Financial and Actuarial Mathematics (IFAM) at the University of Liverpool is pleased to host the 2019 Actuarial Teachers’ and Researchers’ Conference from 27-28 June 2019. This annual two-day event has been running annually now for many years, each time hosted by a different university, and provides all those interested in actuarial research and education a great opportunity to share their ideas and catch up on the latest developments.

  • IFoA/ASM Joint Professional Skills Training – Kuala Lumpur

    Menara AIA, Auditorium, 99 Jalan Ampang, 50450, Kuala Lumpur
    28 June 2019

    Spaces available

    The Institute and Faculty of Actuaries (IFoA) and Actuarial Society of Malaysia (ASM) are organising a joint Professional Skills Training (PST) in Kuala Lumpur. This session is suitable for actuaries working in any area (i.e. it is not specifically aimed at Life, GI or any other technical discipline) and is interactive, so you should come along prepared to take part in the discussions.

  • SIAS: The Impact of Air Pollution on Health and Life Expectancy

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    2 July 2019

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    Air pollution has gained increasing attention lately. Nicola Oliver, head of longevity and mortality research for Medical Intelligence, will discuss not only the impacts of air pollution on health and life expectancy but also how as an industry we should be addressing it.

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  • Implications of 2019 IFRS 17 Exposure Draft

    Staple Inn Hall, High Holborn, London, WC1V 7QJ
    24 July 2019

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    Towards the end of June, the International Accounting Standards Board (IASB) is expected to publish an Exposure Draft (ED) of limited changes to its insurance contracts standard IFRS 17, effective date 2022. To help IFoA members, the IFoA’s cross-practice Financial Reporting Group (FRG) is hosting an event at Staple Inn covering these developments. 

    For more information on the FRG please visit this webpage

  • KSS event – The Regulatory Perspective

    Deloitte Saltire Court 20 Castle Terrace Edinburgh EH1 2EG
    5 September 2019

    Spaces available

    This KSS talk, presented by the FCA Head of Department in Scotland, will focus on the following 3 main areas:

    • FCA business plan priorities
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  • Sessional Research Event - Risk Margin Working Party

    Staple Inn Hall, High Holborn London, WC1V 7QJ
    9 September 2019

    Spaces available

    For life insurers in the UK, the risk margin is one of the most controversial aspects of the Solvency II regime. Following its implementation, the risk margin came under considerable criticism for being too large and too sensitive to interest rate movements. These criticisms are particularly valid for annuity business – such business is of great significance to the national system for retirement provision. This criticism has led to political interest, and the risk margin was a major element of the Treasury Committee inquiry into Solvency II.

  • GIRO Conference 2019

    EICC, The Exchange, 150 Morrison St, Edinburgh EH3 8EE
    24-26 September 2019
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    GIRO is attended annually by over 800 delegates and speakers who are keen to discuss key topics such as Pricing, Reserving, Modelling and the future of the insurance industry. GIRO 2018 was a huge success and we have opened bookings early for what we hope will be another brilliant conference at the EICC in Edinburgh this year. 

     

  • Autumn Lecture 2019, London - Rt Hon Nicky Morgan MP

    Lincoln's Inn The Treasury Office, London WC2A 3TL
    2 December 2019

    Spaces available

    The IFoA is pleased to announce that this year’s Autumn Lecture will feature the Rt Hon Nicky Morgan MP as its guest speaker.  Nicky has previously served as Financial Secretary to the Treasury and Minister for Women. She now chairs the Treasury Select Committee whose remit is to examine the expenditure, administration and policy of HM Treasury, along with all of its agencies and associated bodies.