The Utility value of longevity risk pooling : analytic insights

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Título: The Utility value of longevity risk pooling : analytic insights / Moshe A Milevsky, Huaxiong Huang
Autor: 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. 574-590
Materia / lugar / evento: Longevidad Cálculo actuarial Análisis de riesgos
Autores secundarios: Huang, Huaxiong
Otras clasificaciones: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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