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

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<title>Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates</title>
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<namePart>Zhou, Yuxin</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Yuxin Zhou...[et al.]</note>
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<topic>Mortalidad</topic>
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<topic>Tablas de mortalidad</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>15/09/2025 Volume 55 Issue 3 - September 2025 , p.  585 - 614</text>
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