Centro de Documentacion de Fundación MAPFRE - Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates

MAP20260001920

Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates / Yuxin Zhou...[et al.]

Sumario: This paper extends existing risk-sharing rules for mortality pooling products by incorporating stochastic and correlated mortality rates. It introduces a new rule, the joint expectation (JE) rule, which ensures actuarial fairness under these more realistic mortality conditions. The study analyzes how different risk-sharing rules, together with factors such as mortality volatility, pool size, member age and account balance, influence the distribution of mortality credits. It also evaluates a dynamic pool with heterogeneous members and examines outcomes under a systematic longevity shock. Results show that only the regression rule is affected by account balances, and that larger pools increase sensitivity to mortality deviations for certain cohorts. Overall, risk-sharing rules significantly shape fund balances and their responses to longevity shocks

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 585 - 614

1. Distribución de riesgos . 2. Gestión de riesgos . 3. Mortalidad . 4. Tablas de mortalidad . 5. Cálculo integral . 6. Modelos matemáticos . 7. Longevidad . 8. Equidad actuarial . 9. Productos de seguros . 10. Matemática del seguro . I. Zhou, Yuxin . II. International Actuarial Association .