The Utility value of longevity risk pooling : analytic insights

Imagen del registro
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.