dc.contributor.author | Kimondo, Wanjiru | |
dc.date.accessioned | 2019-01-29T12:31:33Z | |
dc.date.available | 2019-01-29T12:31:33Z | |
dc.date.issued | 2018 | |
dc.identifier.uri | http://hdl.handle.net/11295/105881 | |
dc.description.abstract | Longevity risk is a main topic of study abroad and has just started being a point of analysis
in third world countries. Due to the increase in life expectance there has been a strain on
the national pension funds and life assurance holding rms. A lot of research has been
done on Lee-Carter models of longevity risk and there has been evidence in almost every
research that longevity risk exists in third world countries’ populations. However, little
research has been done on the e ects of cohorts on longevity risk in the same regions.
A cohort study is a study on a group of individuals with something like one speci c
shared experience within a certain time period. The most well-known example is a "birth
cohort", that is, the people in the group are born in the same time or amid a similar era.
In a prospective study, we are examining a group of individuals over time by observing
patterns of e ects or outcomes due to the cohort di erences within the group. This study
focused on modelling the e ects of longevity risk and measuring the e ects of age-period
cohorts. The study used the Renshaw-Haberman to model the e ects of longevity on
mortality for Kenya (period: 1970-2010).
A time-varying mortality index is forecasted in an ARIMA framework and is used to
generate projected life expectancies at normal retirement age. The study then modelled
the life expectance for the next 50 years from 2010. The e ects of longevity risk on the
annuities reserves and pension positions.
The study found that the longevity risk exists and that an increase in life expectance results
in an increase in the cost of pay-outs for pensioners in the market. The study also found
that an improvement in age speci c cohort risk results in a higher life expectation and
lower mortality risk. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of Nairobi | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Longevity Risk and Private Pension Funds | en_US |
dc.title | Longevity Risk and Private Pension Funds- Analysis of Longevity Risk Using the Renshaw-haberman Model | en_US |
dc.type | Thesis | en_US |