Options on tontines: an innovative way of combining tontines and annuities

DOI10.1016/J.INSMATHECO.2019.10.004MaRDI QIDQ2010907zbMATH OpenOpenAlexWikidataFDO

Authors An Chen, Manuel Rach

Publication date 28 November 2019

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.10.004

zbMATH Keywords

option pricingannuitynet loss analysisoptimal retirement productstontine

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3141621 (Why is no real title available?)
• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• Actuarial fairness and solidarity in pooled annuity funds
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• Demand and adverse selection in a pooled annuity fund
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• Introduction to Insurance Mathematics
• Measuring Basis Risk in Longevity Hedges
• On the pricing of longevity-linked securities
• Optimal consumption and portfolio choice for pooled annuity funds
• Optimal retirement income tontines
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Risk analysis of annuity conversion options in a stochastic mortality environment
• The annuity puzzle remains a puzzle
• The modern tontine. An innovative instrument for longevity risk management in an aging society
• Tonuity: a novel individual-oriented retirement plan

Cited in

(16)

• Fees in tontines
• Tontines with mixed cohorts
• Optimal retirement income tontines
• Mortality credits within large survivor funds
• Modern tontines as a pension solution: a practical overview
• Longevity risk and capital markets: the 2019--20 update
• Equitable retirement income tontines: mixing cohorts without discriminating
• The modern tontine. An innovative instrument for longevity risk management in an aging society
• Benefit volatility-targeting strategies in lifetime pension pools
• Tonuity: a novel individual-oriented retirement plan
• Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
• On the optimal combination of annuities and tontines
• Care-dependent tontines
• Tail index-linked annuity: a longevity risk sharing retirement plan
• Modern tontine with bequest: innovation in pooled annuity products
• Quantifying the trade-off between income stability and the number of members in a pooled annuity fund

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