Mortality credits within large survivor funds

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<dc:creator>Denuit, Michel</dc:creator>
<dc:date>2022-09-05</dc:date>
<dc:description xml:lang="es">Sumario: Survivor funds are financial arrangements where participants agree to share the proceeds of a collective investment pool in a predescribed way depending on their survival. This offers investors a way to benefit from mortality credits, boosting financial returns. Following Denuit (2019, ASTIN Bulletin, 49, 591617), participants are assumed to adopt the conditional mean risk sharing rule introduced in Denuit and Dhaene (2012, Insurance: Mathematics and Economics, 51, 265270) to assess their respective shares in mortality credits. This paper looks at pools of individuals that are heterogeneous in terms of their survival probability and their contributions. Imposing mild conditions, we show that individual risk can be fully diversified if the size of the group tends to infinity. For large groups, we derive simple, hierarchical approximations of the conditional mean risk sharing rule.

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<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/180858.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">https://creativecommons.org/licenses/by/4.0</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Fondos de inversión</dc:subject>
<dc:subject xml:lang="es">Tontinas</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Mortality credits within large survivor funds</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 05/09/2022 Volumen 52 Número 3 - septiembre 2022 , p. 813-834</dc:relation>
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