Centro de Documentación de Fundación MAPFRE - The Utility value of longevity risk pooling : analytic insights

MAP20190014267

The Utility value of longevity risk pooling : analytic insights / Moshe A Milevsky, Huaxiong Huang

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.

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2018 Tomo 22 Número 4 - 2018 , p. 574-590

1. Longevidad . 2. Cálculo actuarial . 3. Análisis de riesgos . I. Huang, Huaxiong . II. Título.