Time-varying Pareto optimal risk sharing for annuities

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator> Hanbali, Hamza</dc:creator>
<dc:creator>Warnakulasooriya, Himasha</dc:creator>
<dc:creator>Wai Yin Leung, Jessica</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2025-09-15</dc:date>
<dc:description xml:lang="es">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 products</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189422.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">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:subject xml:lang="es">Renta vitalicia</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Reservas técnicas</dc:subject>
<dc:subject xml:lang="es">Productos de seguros</dc:subject>
<dc:subject xml:lang="es">Jubilación</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Time-varying Pareto optimal risk sharing for annuities</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.  695 - 720</dc:relation>
</rdf:Description>
</rdf:RDF>