The Utility value of longevity risk pooling : analytic insights

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      <subfield code="a">Milevsky, Moshe A.</subfield>
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      <subfield code="a">The Utility value of longevity risk pooling</subfield>
      <subfield code="b">: analytic insights</subfield>
      <subfield code="c">Moshe A Milevsky, Huaxiong Huang</subfield>
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      <subfield code="a">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. </subfield>
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      <subfield code="a">Longevidad</subfield>
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      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="a">Análisis de riesgos</subfield>
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      <subfield code="a">Huang, Huaxiong</subfield>
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      <subfield code="t">North American actuarial journal</subfield>
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      <subfield code="g">03/12/2018 Tomo 22 Número 4 - 2018 , p. 574-590</subfield>