Tail index-linked annuity: a longevity risk sharing retirement plan

DOI10.1080/03461238.2021.1938198MaRDI QIDQ5083405zbMATH OpenOpenAlexFDO

Authors An Chen, Hong Li, Mark B. Schultze

Publication date 20 June 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1938198

zbMATH Keywords

longevity riskmulti-population mortalityindexed annuityretirement product design

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A gravity model of mortality rates for two related populations
• Actuarial fairness and solidarity in pooled annuity funds
• Adaptive algorithmic annuities
• Basis risk in index-based longevity hedges: a guide for longevity hedgers
• Current developments in German pension schemes: what are the benefits of the new target pension?
• Dynamic hedging of longevity risk: the effect of trading frequency
• Equitable retirement income tontines: mixing cohorts without discriminating
• Longevity-indexed life annuities
• On the optimal combination of annuities and tontines
• On the pricing of longevity-linked securities
• Optimal retirement income tontines
• Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses
• Options on tontines: an innovative way of combining tontines and annuities
• Risk analysis of annuity conversion options in a stochastic mortality environment
• Securitization of catastrophe mortality risks
• Sharing longevity risk: why governments should issue longevity bonds
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• The annuity puzzle remains a puzzle
• Tonuity: a novel individual-oriented retirement plan

Cited in

(4)

• Modern tontine with bequest: innovation in pooled annuity products
• An innovative design of flexible, bequest-enhanced life annuity with natural hedging
• Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
• Long guarantees with short duration: the rolling annuity

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