Measuring longevity risk on second pillar pension system: Turkey case

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Aktüerya Bilimleri Anabilim Dalı, Türkiye

Tezin Onay Tarihi: 2018

Tezin Dili: İngilizce

Öğrenci: GÖZDE NURDAĞ

Danışman: Sevtap Ayşe Kestel

Özet:

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.