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Design of risk sharing for risk-linked annuities

Author

Listed:
  • Pauline Ngugnie Diffouo

    (Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, Belgium)

  • Pierre Devolder

    (Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, Belgium)

Abstract

In this paper, we propose two financial-longevity risk-sharing methods based on an existing risk-linked annuity. Within a specific framework, we first propose the risk-sharing group self-annuitization (GSA), where different proportions of financial and longevity risks are shared between a group of annuitants and the insurer. Secondly, we propose the complete risk-sharing GSA. We implicitly define a set of annuity products which depend on the risk proportion borne by a group of annuitants. The defined set of annuities goes from the classical annuity to the GSA.

Suggested Citation

  • Pauline Ngugnie Diffouo & Pierre Devolder, 2022. "Design of risk sharing for risk-linked annuities," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-27, June.
    • Handle: RePEc:wsi:ijfexx:v:09:y:2022:i:02:n:s2424786321500213
    DOI: 10.1142/S2424786321500213
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