Centro de Documentacion de Fundación MAPFRE - Fairness and risk sharing in integrated LRD-tontine schemes under Volterra mortality risk

Notes: Sumario: This study examines actuarial fairness in tontine schemes using a Volterra-based mortality framework that incorporates long-range dependence. An optimal tontine design is first developed for homogeneous participants, and then extended through a hybrid optimization model that accounts for age and wealth differences in heterogeneous cohorts. The f-value fairness measure is applied to evaluate intergenerational equity, revealing thatdespite achieving overall group-level fairnessolder participants receive relatively lower benefits. By integrating dynamic mortality modeling, the proposed approach enhances the robustness and sustainability of retirement income structures and provides guidance for future development of longevity-risk-sharing products.Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 644 - 667Materia / lugar / evento: Matemática del seguro Longevidad Jubilación Cálculo actuarial Tontinas Distribución de riesgos Equidad actuarial Mortalidad Operaciones garantizadas a medio y largo plazo Otros autores: Kang, Jingwen
International Actuarial Association
Other categories: 6

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