The utility value of longevity risk pooling: analytic insights

DOI10.1080/10920277.2018.1467271MaRDI QIDQ4633997zbMATH OpenOpenAlexWikidataFDO

Authors Moshe Arye Milevsky, Huaxiong Huang

Publication date 7 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2018.1467271

zbMATH Keywords

annuity equivalent wealthlongevity risk poolingutility value

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Optimal consumption and portfolio choice for pooled annuity funds
• Optimal Portfolio Choice in Retirement With Participating Life Annuities
• Longevity risk management for individual investors
• The economics of sharing macro-longevity risk
• Valuation of longevity-linked life annuities

Cites work

• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• Neoclassical life-cycle consumption: A textbook example
• The utility value of longevity risk pooling: analytic insights
• The existence, uniqueness, and optimality of the terminal wealth depletion time in life-cycle models of saving under uncertain lifetime and borrowing constraint

Cited in

(6)

• Exchanging uncertain mortality for a cost
• Quantifying the trade-off between income stability and the number of members in a pooled annuity fund
• Optimal annuity demand for general expected utility agents
• Longevity risk: an empirical analysis for life annuity
• A buy-hold-sell pension saving strategy
• The Utility Value of Longevity Risk Pooling: Analytic Insights

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