RT Journal Article SR Electronic T1 Longevity Risk Assessment for Defined-Benefit Pension Plans JF Special Issues FD Institutional Investor Journals SP 88 OP 98 VO 2014 IS 1 A1 Helmut Artinger A1 Mikhail Krayzler A1 Bernhard Brunner A1 Rudi Zagst YR 2014 UL https://pm-research.com/content/2014/1/88.abstract AB There are several risk factors relevant to a defined-benefit (DB) pension plan’s liabilities. Until recently, most pension plans’ sponsors were particularly concerned with interest-rate and inflation risk, a fact that has often been analyzed by academics and practitioners. In the past few years, another type of risk became an important issue for many pension plans, the so-called “longevity risk.” Plans’ sponsors, faced with rapid mortality improvements and thus potential changes in their liabilities, are now starting to pay much more attention to this risk. However, the problem of consistent analysis of longevity, together with other risk factors, and its contribution to the overall risk for the liabilities of a pension plan still remains open for many companies. This article aims to fill this gap and proposes an integrated framework in which longevity risk can be quantified and compared to other risk factors in a DB pension plan. Stochastic continuous-time models, calibrated to the market data, are used to forecast inflation, interest rates, and mortality rates. The authors apply the presented methodologies to different sample pension plans and compare the level of longevity risk with interest-rate and inflation risk at different time horizons.