Second International Comparative Study of Mortality Tables for Pension Fund Retirees

On Monday 20th June 2011, a paper entitled a “Second International Comparative Study of Mortality Tables for Pension Fund Retirees” will be presented at the Actuarial Profession’s Sessional Research meeting at Staple Inn. The discussion will commence at 5.00 pm with tea available beforehand from 4.30 pm. The paper, by T.Z.Sithole (Kingston University), S.Haberman and R.J.Verrall (both Cass Business School, City University London), contains an update to a study presented in 2006.

The paper compares the mortality assumptions used in the valuation of defined benefit pension liabilities in the EU and a number of other countries. The results are considered in relation to the underlying population mortality rates, in order to isolate the strength of the mortality assumptions being applied. It is found that there is evidence of a lack of consistency between countries, and that this has not changed since the previous study.

This paper has important implications for actuaries and investors, since defined benefit pension liabilities can form a significant item on the balance sheet of many companies. If, for example, a company is the subject of a merger or acquisition and the jurisdiction of the regulations governing the pension liability changes, this can have a significant impact on the transaction.

The paper questions whether the differences in the mortality assumptions can be justified by the data, and calls on actuaries to take a more consistent approach across countries. It also questions whether the effect of the relative strength, or weakness, of the pension assumptions is made sufficiently clear in company reports and accounts.

For more information on the meeting and a downloadable version of the paper please see http://www.actuaries.org.uk/events/one-day/sessional-research-event-int….

The background paper can be downloaded from http://www.actuaries.org.uk/research-and-resources/documents/second-int…

If you would like to attend this event please contact Nicola Orriss at nicola.orriss@actuaries.org.uk