Donnelly, Catherine

Guillen, Montserrat

Nielsen, Jens Perch

English

We analyze a pooled annuity fund from a participant’s perspective by comparing it to a mortality-linked fund, a type of variable payout life annuity, that gives a return linked to the force of mortality but subject to a cost. Fixing the instantaneous volatility of return on wealth, we find that the expected return on the pooled annuity fund is higher except when the costs are very low in the mortality-linked fund. Similar results are obtained when maximizing the expected lifetime utility of consumption, assuming a constant relative risk aversion utility function. In both settings, our results indicate that a participant may be willing to accept the mortality risk of the pooled annuity fund, even when only 100 individuals are pooling their mortality in the pooled annuity fund

Heriot Watt Pure

Exchanging uncertain mortality for a cost

Arbitrage Theory in Continuous Time.

Bequest motives and the annuity puzzle.

Demand and adverse selection in a pooled annuity fund.

Fair tontine annuity. http://ssrn.com/abstract=1579932,March 2010.EXCHANGING

Managing systematic mortality risk with group selfpooling and annuitization schemes.

Money’s worth of pension annuities. Department for Work and Pensions, UK Government,

Mortality risk and pricing of annuities.

Mortality-indexed annuities: Managing longevity risk via product design.

New evidence on the money’s worth of individual annuities.

Performance and risks of open-end life settlement funds.

Solvency II rules could make retirement more expensive,

Stochastic Integration and Diﬀerential Equations.

The mechanics and regulation of variable payout annuities,

Exchanging uncertain mortality for a cost

Abstract

Similar works

Full text

Available Versions

Heriot Watt Pure

Heriot Watt Pure