The Utility value of longevity risk pooling : analytic insights

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<title>Utility value of longevity risk pooling</title>
<subTitle>: analytic insights</subTitle>
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<name type="personal" usage="primary">
<namePart>Milevsky, Moshe A.</namePart>
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<name type="personal">
<namePart>Huang, Huaxiong</namePart>
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<abstract>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. </abstract>
<note type="statement of responsibility">Moshe A Milevsky, Huaxiong Huang</note>
<subject>
<topic>Longevidad</topic>
</subject>
<subject>
<topic>Cálculo actuarial</topic>
</subject>
<subject>
<topic>Análisis de riesgos</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>03/12/2018 Tomo 22 Número 4 - 2018 , p. 574-590</text>
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