The sensitivity analysis of multistate pension projections based on a vec-permutation approach

  • Nada El Moutaki Ibn Tofail university Department of mathematics
  • Kaicer Mohammed
  • Rachidi Mustapha
  • kettani youssfi
DOI: https://doi.org/10.19139/soic-2310-5070-2832
Keywords: Cohort component method, Pension projections, Multi-state model, vec-permutation matrix, Sensitivity analysis, Matrix calculus.

Abstract

The cohort component method in the context of pension projections can be translated into a multistate matrixmodel, in which beneficiaries of a pension scheme are classified jointly by their age and status (active contributor, invalid,retiree, widows/widowers), using the vec permutation matrix. The projection results depend on the mortality, retirement,disability, marital percentage and remarriage rates as well as the number of new entrants into the scheme on which theprojections are based. Any change to a parameter will result in a corresponding change in the projection outcomes. Ourobjective is to systematically examine the relationships between various key projection outcomes—such as status-specificpopulation sizes, dependency ratio, total cash flows, and PAYG cost rate—and the underlying age- and sex-specific projectionparameters. To achieve this, we present the set of equations required to perform sensitivity and elasticity (i.e., proportionalsensitivity) analyses of multistate projections, utilizing matrix calculus. We apply our methodology to a projection of theMoroccan pension system, which estimates population and cash flows disaggregated by age, sex, and status over the period2020 to 2080.
Published
2025-12-08
How to Cite
El Moutaki, N., Mohammed, K., Mustapha, R., & youssfi, kettani. (2025). The sensitivity analysis of multistate pension projections based on a vec-permutation approach. Statistics, Optimization & Information Computing. https://doi.org/10.19139/soic-2310-5070-2832
Issue
Online First
Section
Research Articles
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