Exchanging uncertain mortality for a cost

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      <subfield code="a">Donnelly, Catherine</subfield>
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      <subfield code="a">Exchanging uncertain mortality for a cost</subfield>
      <subfield code="c">Catherine Donnelly, Montserrat Guillén, Jens Perch Nielsen</subfield>
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      <subfield code="a">We analyze a pooled annuity fund from a participants perspective by comparing it to a mortality-linked fund, a type of variable payout life annuity, that gives a return linked to the force of mortality but subject to a cost. Fixing the instantaneous volatility of return on wealth, we find that the expected return on the pooled annuity fund is higher except when the costs are very low in the mortality-linked fund. Similar results are obtained when maximizing the expected lifetime utility of consumption, assuming a constant relative risk aversion utility function. In both settings, our results indicate that a participant may be willing to accept the mortality risk of the pooled annuity fund, even when only 100 individuals are pooling their mortality in the pooled annuity fund.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">07/01/2013 Volumen 52 Número 1  - enero 2013 </subfield>
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