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Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes

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  • Chao Qiao
  • Michael Sherris

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  • Chao Qiao & Michael Sherris, 2013. "Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 949-974, December.
    • Handle: RePEc:bla:jrinsu:v:80:y:2013:i:4:p:949-974
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    File URL: http://hdl.handle.net/10.1111/j.1539-6975.2012.01483.x
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    1. John Piggott & Emiliano A. Valdez & Bettina Detzel, 2005. "The Simple Analytics of a Pooled Annuity Fund," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(3), pages 497-520, September.
    2. Valdez, Emiliano A. & Piggott, John & Wang, Liang, 2006. "Demand and adverse selection in a pooled annuity fund," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 251-266, October.
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    8. Hurd, Michael D, 1989. "Mortality Risk and Bequests," Econometrica, Econometric Society, vol. 57(4), pages 779-813, July.
    9. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 81-97, February.
    10. Milevsky,Moshe A., 2006. "The Calculus of Retirement Income," Cambridge Books, Cambridge University Press, number 9780521842587, September.
    11. Benjamin M. Friedman & Mark J. Warshawsky, 1990. "The Cost of Annuities: Implications for Saving Behavior and Bequests," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 135-154.
    12. Olivia S. Mitchell, 2001. "Developments in Decumulation: The Role of Annuity Products in Financing Retirement," NBER Working Papers 8567, National Bureau of Economic Research, Inc.
    13. Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
    14. Stamos, Michael Z., 2008. "Optimal consumption and portfolio choice for pooled annuity funds," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 56-68, August.
    15. Vittas, Dimitri & Rudolph, Heinz & Pollner, John, 2010. "Designing the payout phase of funded pension pillars in central and eastern European countries," Policy Research Working Paper Series 5276, The World Bank.
    16. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
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    Cited by:

    1. Xie, Lin & Chen, Lv & Qian, Linyi & Li, Danping & Yang, Zhixin, 2023. "Optimal investment and consumption strategies for pooled annuity with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 129-155.
    2. Hieber, Peter & Lucas, Nathalie, 2020. "Life-Care Tontines," LIDAM Discussion Papers ISBA 2020026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
    4. Milevsky, Moshe A. & Salisbury, Thomas S., 2015. "Optimal retirement income tontines," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 91-105.
    5. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2014. "Bringing cost transparency to the life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 14-27.
    6. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    7. Thomas Bernhardt & Catherine Donnelly, 2020. "Quantifying the trade-off between income stability and the number of members in a pooled annuity fund," Papers 2010.16009, arXiv.org.
    8. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    9. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    10. Marcel Bräutigam & Montserrat Guillén & Jens P. Nielsen, 2017. "Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 42(3), pages 406-422, July.
    11. Balter, Anne G. & Kallestrup-Lamb, Malene & Rangvid, Jesper, 2021. "Macro longevity risk and the choice between annuity products: Evidence from Denmark," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 355-362.
    12. Chen, An & Guillen, Montserrat & Rach, Manuel, 2021. "Fees in tontines," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 89-106.
    13. Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
    14. Thomas Bernhardt & Catherine Donnelly, 2019. "Modern tontine with bequest: innovation in pooled annuity products," Papers 1903.05990, arXiv.org.
    15. Moshe A. Milevsky & Thomas S. Salisbury, 2024. "The Riccati Tontine: How to Satisfy Regulators on Average," Papers 2402.14555, arXiv.org.
    16. Anne G. Balter & Malene Kallestrup-Lamb & Jesper Rangvid, 2019. "The move towards riskier pensions: The importance of mortality," CREATES Research Papers 2019-22, Department of Economics and Business Economics, Aarhus University.
    17. Milevsky, Moshe A. & Salisbury, Thomas S., 2016. "Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 571-604, September.
    18. Chen, An & Hieber, Peter & Rach, Manuel, 2021. "Optimal retirement products under subjective mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 55-69.
    19. Chen, An & Rach, Manuel, 2023. "Actuarial fairness and social welfare in mixed-cohort tontines," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 214-229.
    20. Bernhardt, Thomas & Donnelly, Catherine, 2019. "Modern tontine with bequest: Innovation in pooled annuity products," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 168-188.
    21. Kabuche, Doreen & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan, 2024. "Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 165-188.
    22. Ravit Rubinstein-Levi, 2021. "Disadvantaged Employees in the Trap of Defined Contribution Pension Plans," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 55-76.
    23. Abdikerimova, Samal & Feng, Runhuan, 2022. "Peer-to-peer multi-risk insurance and mutual aid," European Journal of Operational Research, Elsevier, vol. 299(2), pages 735-749.
    24. Thomas Bernhardt & Ge Qu, 2021. "Wealth heterogeneity in a closed pooled annuity fund," Papers 2110.13467, arXiv.org, revised Aug 2022.

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