Time-varying Pareto optimal risk sharing for annuities

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<title>Time-varying Pareto optimal risk sharing for annuities</title>
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<namePart>Warnakulasooriya, Himasha</namePart>
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<namePart>Wai Yin Leung, Jessica</namePart>
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<abstract displayLabel="Summary">This paper examines time-varying risk-sharing arrangements between annuity providers and policyholders. It develops Pareto optimal (PO) and viable Pareto optimal (VPO) designs in which the share of reserve deviations allocated to policyholders changes over time. Because the underlying mean-variance optimization leads to a complex quartic and NP-hard problem, the paper introduces a heuristic method that yields a practical closed-form approximation. The study also identifies key factors affecting the existence of VPO solutions-most notably the policyholder's age-highlighting the relevance of these designs for retirement products</abstract>
<note type="statement of responsibility">Hamza Hanbali, Himasha Warnakulasooriya and Jessica Wai Yin Leung</note>
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<topic>Distribución de riesgos</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Productos de seguros</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>15/09/2025 Volume 55 Issue 3 - September 2025 , p.  695 - 720</text>
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