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梦梦0708 · 2021年07月19日

关于最后一个longevity和mortality risk？

  1. CFA III
  2. 机构IPS

NO.PZ2019100901000013

问题如下：

Fiona Heselwith is a 40-year-old US citizen who has accepted a job with Lyricul, LLC, a UK-based company. Her benefits package includes a retirement savings plan. The company offers both a defined benefit (DB) plan and a defined contribution (DC) plan but stipulates that employees must choose one plan and remain with that plan throughout their term of employment.

The DB plan is fully funded and provides full vesting after five years. The benefit formula for monthly payments upon retirement is calculated as follows:

Final monthly salary × Benefit percentage of 2% × Number of years of service

The final monthly salary is equal to average monthly earnings for the last five financial years immediately prior to the retirement date

The DC plan contributes 12% of annual salary into the plan each year and is also fully vested after five years. Lyricul offers its DC plan participants a series of life-cycle funds as investment choices. Heselwith could choose a fund with a target date matching her planned retirement date. She would be able to make additional contributions from her salary if she chooses

Discuss the features that Heselwith should consider in evaluating the two plans with respect to the following:

i. Benefit payments

ii. Contributions

iii. Shortfall risk

iv. Mortality/longevity risks

选项：

解释：

1、关于最后一个risk，DC、DB的陈述没有看懂，麻烦老师讲解一下。

2、关于这个risk的答题要点是什么，谢谢～～

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1 个答案

发亮_品职助教 · 2021年07月20日

嗨，从没放弃的小努力你好：


关于最后一个risk，DC、DB的陈述没有看懂


在养老金这里，Mortality/longevity主要是用来描述：员工寿命带来的风险。

因为保险（养老金）等，涉及到人的寿命问题的，是基于一定的寿命假设来计算养老金（保险）的，当人的实际寿命与基金计算时的预期寿命不同时，就会产生风险。


具体来说，当员工过早死亡（实际寿命小于养老金预期），员工就面临Mortality Risk。即，人死了，基金里的钱没花完。人过早死亡，留了一笔养老金给DB Fund。所以，Mortality risk主要是员工面临的风险，站在DB Fund的角度来看，Mortality risk是对DB有利的。


当员工活的时间过长（实际寿命大于养老金预期），公司（DB Fund）就面临Longevity risk，那公司就需要承担更多的养老金开支（Cash outflow），此时，是对公司不利的。


最后一段是说：DB养老金是一个资产池，汇聚了众多员工的养老金，由于人数众多，总有人会提前死亡（Die Prematurely），也总有人会活的过长（Live longer than expected）。

那在这种情况下，提前死亡的员工，就会给DB Fund省下来一笔养老金支出，那DB Fund就可以将这种省下来的资产用来支付活的过长员工的养老金。

简单来说，就是：提前死亡员工的养老金来补贴活的过长员工的养老金。


最后发现，像DB Fund这种资产池，很好的平衡掉了Mortality risk与Longevity risk，使得DB Fund的现金流更加平稳。整体上对DB Fund是有利的。


以上分析，仅适用于DB Fund，DB Fund承担Longevity risk，员工承担Mortality risk。

而DC Fund的风险全部由员工承担，雇主无需用资产池（Pooled assets）来对冲Mortality risk与Longevity risk。


关于这个risk的答题要点是什么


回答出以下要点即可（标黄高亮部分）：

1、DB Fund：基金承担Longevity risk，员工承担Mortality risk；基金通过资产池的方式（Pooled assets），（用Mortality risk平衡了Longevity risk）降低了基金面临的Longevity risk。

2、对于DC Plan，基金（雇主）不承担风险，风险由员工承担。因此，员工承担Longevity risk（活的过长，养老金不够用的风险），以及Mortality risk。

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