The Utility value of longevity risk pooling : analytic insights

Imagen del registro
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20190014267
003  MAP
005  20190520164458.0
008  190520e20181203esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20080226343‎$a‎Milevsky, Moshe A.
24514‎$a‎The Utility value of longevity risk pooling‎$b‎: analytic insights‎$c‎Moshe A Milevsky, Huaxiong Huang
520  ‎$a‎The 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.
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080588953‎$a‎Análisis de riesgos
700  ‎$0‎MAPA20080662875‎$a‎Huang, Huaxiong
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎03/12/2018 Tomo 22 Número 4 - 2018 , p. 574-590