Managing systematic mortality risk with group self-pooling and annuitization schemes
Título: Managing systematic mortality risk with group self-pooling and annuitization schemes / Chao Qiao, Michael Sherris
Autor: Qiao, Chao
Notas: Sumario: Group self-annuitization (GSA) schemes are designed to share uncertain future mortality experience including systematic improvements. Challenges for designing group pooled schemes include decreasing average payments when mortality improves significantly, decreasing numbers in the pool at older ages, and the impact of dependence from systematic mortality improvements across different ages of members in the pool. This article uses a multiple-factor stochastic mortality model in a simulation study to show how pooling can be made more effective and to quantify the limitations of these pooling schemes arising from the impact of systematic longevity risk.
Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 02/12/2013 Volumen 80 Número 4 - diciembre 2013
Outras classificações: 1
Direitos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/