Loading in 2 Seconds...
Loading in 2 Seconds...
Longevity Risk Transfer: A PPF Perspective Sixth International Longevity Risk and Capital Markets Solutions Conference 9 th & 10 th September 2010. Martin Clarke, PPF Executive Director of Financial Risk.
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
Vision: Protecting people’s futures.
Mission: Pay the right people the right amount at the right time
“For a 65 year old male today a 20% improvement in longevity will reduce his annuity by 9%”
“Demographic picture very worrying – we face a pensioners crisis. Baby boomers reaching age 65 in the next three years – what will they live on?”
Ros Altmann 2009
“I've got all the money I need for my old age... provided I die before 4pm today”
“Sharply rising longevity adds urgency to pension review”
Financial Times June 2010
Nobody is disputing the evidence on mortality improvements – people are living longer and this will impact upon pension scheme costs”
The Pensions Regulator 2008
In PPF’s case the position is complicated by its potential to continue to
accrue additional liabilities as a result of future insolvencies
PPF claims as % of PPF liabilities
Age distribution of PPF members
The PPF Board believes that, given future uncertainty and the absence of any
external guarantee, a chance of success of 80% over 20 years is reasonable
A good hedge for PPF is one that improves the funding success rate during the accumulation phase or that reduces the reserve for adverse experience in the decumulation phase
Note that PPF’s appetite for longevity risk transfer will progressively increase
PPF risk composition through time
Breakeven liability margin vs market prices
*Note that the numbers in this slide have been camouflaged to disguise actual price information in our possession.
The feature illustrated is however based on actual price information
Supported by this analysis we can evaluate different strategies and, in principle, develop a hedging dashboard to reflect our appetite for business
PPF longevity risk dashboard*
*The ratings in the longevity risk dashboard are for illustration purposes only