... and model risk. Synthetic indicators to measure the impact of the indexation mechanism on social security system are introduced on the basis of pension cash flows. Findings An indexation policy that manages gender gap while adjusting retirement age for varying life expectancy is proposed. As a result...

...) and systematic (longevity risk) deviations of the number of deaths from the value anticipated for it. This last component gives rise to the risk due to the randomness in the choice of the survival model for valuations (model risk or projection risk). If the insurance risk component can be assumed negligible...