Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework

Table 2

The second type of longevity risk measurement for the pension of 60-year-olds.

	Male			Female
	2.5%	3.5%	4.5%	2.5%	3.5%	4.5%
Annuity factor	18.8	16.7	15.0	20.7	18.2	16.2
Pressure trend method (0.5%)	11.0%	9.5%	8.2%	7.5%	6.4%	5.6%
Pressure trend method (25%)	2.9%	2.6%	2.3%	2.1%	1.8%	1.5%
Mortality fluctuation method (QIS5)	6.0%	5.2%	4.6%	4.6%	3.9%	3.4%
Mortality fluctuation method (C-ROSS)	7.8%	6.6%	5.6%	6.3%	5.3%	4.5%
Stochastic simulation (VaR 0.5%)	9.4%	7.9%	6.9%	6.5%	5.5%	4.7%
Stochastic simulation (CTE 0.5%)	10.5%	9.0%	7.6%	7.3%	6.1%	5.3%
One-year stochastic simulation (0.5%)	4.4%	3.8%	3.4%	3.8%	3.3%	2.8%