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Notas: Sumario: This 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 productsRegistros relacionados: 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. 695 - 720Materia / lugar / evento: Matemática del seguro Longevidad Distribución de riesgos Renta vitalicia Cálculo actuarial Modelos matemáticos Reservas técnicas Productos de seguros Jubilación Otros autores: Warnakulasooriya, Himasha
Wai Yin Leung, Jessica
International Actuarial Association
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Time-varying Pareto optimal risk sharing for annuities