Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates

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<dc:creator>Zhou, Yuxin</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2025-09-15</dc:date>
<dc:description xml:lang="es">Sumario: This paper extends existing risk-sharing rules for mortality pooling products by incorporating stochastic and correlated mortality rates. It introduces a new rule, the joint expectation (JE) rule, which ensures actuarial fairness under these more realistic mortality conditions. The study analyzes how different risk-sharing rules, together with factors such as mortality volatility, pool size, member age and account balance, influence the distribution of mortality credits. It also evaluates a dynamic pool with heterogeneous members and examines outcomes under a systematic longevity shock. Results show that only the regression rule is affected by account balances, and that larger pools increase sensitivity to mortality deviations for certain cohorts. Overall, risk-sharing rules significantly shape fund balances and their responses to longevity shocks</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189420.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:subject xml:lang="es">Gestión de riesgos</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Tablas de mortalidad</dc:subject>
<dc:subject xml:lang="es">Cálculo integral</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Equidad actuarial</dc:subject>
<dc:subject xml:lang="es">Productos de seguros</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates</dc:title>
<dc:relation xml:lang="es">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.  585 - 614</dc:relation>
</rdf:Description>
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