Mortality credits within large survivor funds

DOI10.1017/ASB.2022.13MaRDI QIDQ5045339zbMATH OpenOpenAlexFDO

Authors Peter Hieber, C. Y. Robert, Michel Denuit

Publication date 4 November 2022

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/asb.2022.13

zbMATH Keywords

tontineconditional mean risk sharingmortality risk pooling

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Asymptotic expansions for conditional moments of Bernoulli trials
• Convex order and comonotonic conditional mean risk sharing
• Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses
• Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
• From risk sharing to pure premium for a large number of heterogeneous losses
• Investing in your own and peers' risks: the simple analytics of P2P insurance
• Modern life-care tontines
• Modern tontines as a pension solution: a practical overview
• On the convolution of heterogeneous Bernoulli random variables
• Options on tontines: an innovative way of combining tontines and annuities
• Peer-to-peer multi-risk insurance and mutual aid
• Quantifying the trade-off between income stability and the number of members in a pooled annuity fund
• Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Tontines with mixed cohorts
• Tonuity: a novel individual-oriented retirement plan

Cited in

(5)

• Wealth heterogeneity in a closed pooled annuity fund
• Modern life-care tontines
• Conditional mean risk sharing of independent discrete losses in large pools
• Optimal performance of a tontine overlay subject to withdrawal constraints
• Egalitarian pooling and sharing of longevity risk a.k.a. \textit{can an administrator help skin the tontine cat?}

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