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Equitable retirement income tontines : mixing cohorts without discriminating

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20160032406
003  MAP
005  20161123172338.0
008  161103e20160901bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20080226343‎$a‎Milevsky, Moshe A.
24510‎$a‎Equitable retirement income tontines‎$b‎: mixing cohorts without discriminating‎$c‎Moshe A. Milevsky and Thomas S. Salisbury
520  ‎$a‎There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example, Piggott et al. (2005) or Donnelly et al. (2014). In this paper, we generalize the natural retirement income tontine introduced by Milevsky and Salisbury (2015) by combining heterogeneous cohorts into one pool. We engineer this scheme by allocating tontine shares at either a premium or a discount to par based on both the age of the investor and the amount they invest. For example, a 55-year old allocating $10, 000 to the tontine might be told to pay $200 per share and receive 50 shares, while a 75-year old allocating $8, 000 might pay $40 per share and receive 200 shares. They would all be mixed together into the same tontine pool and each tontine share would have equal income rights. The current paper addresses existence and uniqueness issues and discusses the conditions under which this scheme can be constructed equitably which is distinct from fairly even though it isn't optimal for any cohort. As such, this also gives us the opportunity to compare and contrast various pooling schemes that have been proposed in the literature and to differentiate between arrangements that are socially equitable, vs. actuarially fair vs. economically optimal.
7001 ‎$0‎MAPA20160014266‎$a‎Salisbury, Thomas S.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 571-604