Population Aging, Implications for Asset Values, and Impact for Pension Plans: An International Study

The Society of Actuaries is pleased to make available preliminary material for a research project investigating Population Aging and its impact on pension plans. The project is being conducted by a research team from Waterloo University:  Doug Andrews (lead), Steve Bonnar, Lori Curtis, Miguel Leon-Ledesma, Jaideep Oberoi, Kathleen Rybczynski, Pradip Tapadar, and Mark Zhou.

The researchers are looking at the use of an overlapping generations (OLG) model to model the impact of population structure on returns across asset classes.  As preliminary work, they have prepared several items:

  • Phase 1: A comprehensive literature inventory and review summary providing background regarding overlapping generations (OLG) models
  • Phase 1: A description of the proposed model specifications. 
  • Phase 2: A comprehensive literature review identifying and summarizing academic and other papers that draw a connection between population structure and asset class returns (or prices).  This paper is being released prior to the completion of the project because it may be of use to members and to invite comments from interested practitioners.  Please send comments to Steve Bonnar, spbonnar@gmail.com, prior to October 31, 2017. This paper will be updated to a final version at the completion of this phase of the project.

And overall, as they proceed to new phases of the project, the authors are looking for input from actuaries and others interested in this work as they move to new phases. Please contact Doug Andrews, dwa007@hotmail.com, with any feedback and input you have regarding the model specifications.


Draft Literature Review for Member Comment Regarding the Connection between Demographic Factors and Asset Class Returns/Prices

Use of Overlapping Generations Model in Modeling Demographic Change Introduction to the Literature Review

Use of Overlapping Generations Model in Modeling Demographic Change – Summary of the Literature Review

The OLG Model Environment 

If you have any questions or comments regarding the report, please contact Steve Siegel, Research Actuary at ssiegel@soa.org.

Thank You

The Society of Actuaries would like to thank the Project Oversight Group (POG) for their input and review.  The POG included representatives of the Canadian Institute of Actuaries, International Faculty of Actuaries, and the Society of Actuaries. 

Jim Bridgeman
Mark Coleman
Ian Genno
Frank Grossman
Robert Hudson
Nari Persad
Robert Reitano
Steven Rimmer
Catherine Gauld, IFoA Research Project Manager
Steve Siegel, SOA Research Actuary
Barbara Scott, SOA Sr. Research Administrator

Questions Or Comments?

If you have comments or questions, please email research@soa.org.