Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260001920 | ||
| 003 | MAP | ||
| 005 | 20260202113944.0 | ||
| 008 | 260202e20250915bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 0 | 0 | $aRisk-sharing rules for mortality pooling products with stochastic and correlated mortality rates$cYuxin Zhou...[et al.] |
| 520 | $aThis 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 | ||
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20250003316$aGestión de riesgos | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080599300$aTablas de mortalidad | |
| 650 | 4 | $0MAPA20080574871$aCálculo integral | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20190012829$aEquidad actuarial | |
| 650 | 4 | $0MAPA20080598358$aProductos de seguros | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 700 | 1 | $0MAPA20260001517$aZhou, Yuxin | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g15/09/2025 Volume 55 Issue 3 - September 2025 , p. 585 - 614$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |