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

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      <subfield code="a">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</subfield>
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