Búsqueda

The Utility value of longevity risk pooling : analytic insights

Recurso electrónico / Electronic resource
Sección: Artículos
Título: The Utility value of longevity risk pooling : analytic insights / Moshe A Milevsky, Huaxiong HuangAutor: Milevsky, Moshe A.
Notas: 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. Registros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2018 Tomo 22 Número 4 - 2018 , p. 574-590Materia / lugar / evento: Longevidad Cálculo actuarial Análisis de riesgos Otros autores: Huang, Huaxiong
Otras clasificaciones: 6
Ver detalle del número