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The Utility value of longevity risk pooling : analytic insights
Recurso electrónico / Electronic resource
MAP20190014267
Milevsky, Moshe A. ‌
The Utility value of longevity risk pooling : analytic insights / Moshe A Milevsky, Huaxiong Huang
Sumario: The consensus among researchers is that (some) longevity risk pooling is the optimal strategy for drawing down wealth in retirement, and a robust literature has developed around its measurement via annuity equivalent wealth. However, most of the published work is conducted numerically, and authors usually report only a handful of limited values. In this article we derive closed-form expressions for the value of longevity risk pooling with fixed life annuities under constant relative risk aversion preferences.
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2018 Tomo 22 Número 4 - 2018 , p. 574-590
1. Longevidad ‌. 2. Cálculo actuarial ‌. 3. Análisis de riesgos ‌. I. Huang, Huaxiong ‌. II. Título.