Time-varying Pareto optimal risk sharing for annuities
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260001944 | ||
| 003 | MAP | ||
| 005 | 20260202114857.0 | ||
| 008 | 260202e20250915bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20260001524$a Hanbali, Hamza | ||
| 245 | 1 | 0 | $aTime-varying Pareto optimal risk sharing for annuities$cHamza Hanbali, Himasha Warnakulasooriya and Jessica Wai Yin Leung |
| 520 | $aThis paper examines time-varying risk-sharing arrangements between annuity providers and policyholders. It develops Pareto optimal (PO) and viable Pareto optimal (VPO) designs in which the share of reserve deviations allocated to policyholders changes over time. Because the underlying mean-variance optimization leads to a complex quartic and NP-hard problem, the paper introduces a heuristic method that yields a practical closed-form approximation. The study also identifies key factors affecting the existence of VPO solutions-most notably the policyholder's age-highlighting the relevance of these designs for retirement products | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20080573614$aRenta vitalicia | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20080582340$aReservas técnicas | |
| 650 | 4 | $0MAPA20080598358$aProductos de seguros | |
| 650 | 4 | $0MAPA20080554927$aJubilación | |
| 700 | 1 | $0MAPA20260001531$aWarnakulasooriya, Himasha | |
| 700 | 1 | $0MAPA20260001548$aWai Yin Leung, Jessica | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g15/09/2025 Volume 55 Issue 3 - September 2025 , p. 695 - 720$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |