Abstract
AbstractVarious types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different methods of pooling mortality risk, we investigate the connections between them and find that they are genuinely different for a finite heterogeneous membership profile. We discuss the importance of actuarial fairness, defined as the expected benefits equalling the contributions for each member, in the context of pooling mortality risk and comment on whether actuarial unfairness can be seen as solidarity between members. We show that, with a finite number of members in the fund, the group self-annuitization scheme is not actuarially fair: some members subsidize the other members. The implication is that the members who are subsidizing the others may obtain a higher expected benefit by joining a fund with a more favorable membership profile. However, we find that the subsidies are financially significant only for very small or highly heterogeneous membership profiles.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference9 articles.
1. Individual post-retirement longevity risk management under systematic mortality risk;Hanewald;Insurance: Mathematics and Economics,2013
2. Exchanging uncertain mortality for a cost;Donnelly;Insurance: Mathematics and Economics,2013
3. The Simple Analytics of a Pooled Annuity Fund
4. Sabin M.J. (2010) Fair tontine annuity. Social Science Research Network. Available at http://ssrn.com/abstract=1579932.
5. Bringing cost transparency to the life annuity market;Donnelly;Insurance: Mathematics and Economics,2014
Cited by
43 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献