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Mortality credits within large survivor funds

Author

Listed:
  • Denuit, Michel

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Hieber, Peter

    (University of Lausanne)

  • Robert, Christian Y.

    (CREST - ENSAE)

Abstract

Survivor funds are financial arrangements where participants agree to share the proceeds of a collective investment pool in a pre-described way depending on their survival. This offers investors a way to benefit from mortality credits, boosting financial returns. Following Denuit (2019), participants are assumed to adopt the conditional mean risk sharing rule introduced in Denuit and Dhaene (2012) to assess their respective shares in mortality credits. This paper considers the case of a large pool and studies the asymptotic behavior of mortality credits. A law of large numbers and a central-limit theorem are established, as well as simple approximations for a sufficiently large number of participants. A risk transfer network structure is also proposed to allow participants to restrict sharing to a community of individuals with whom they are connected. Lifelong incomes can be obtained by combining investments in survivor funds over consecutive periods, offering an alternative to modern tontines or pooled annuity funds.

Suggested Citation

  • Denuit, Michel & Hieber, Peter & Robert, Christian Y., 2021. "Mortality credits within large survivor funds," LIDAM Discussion Papers ISBA 2021038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2021038
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    References listed on IDEAS

    as
    1. Denuit, Michel & Robert, Christian Y., 2021. "Risk sharing under the dominant peer-to-peer property and casualty insurance business models," LIDAM Discussion Papers ISBA 2021001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    3. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
    4. Donnelly, C. & Young, J., 2017. "Product options for enhanced retirement income," British Actuarial Journal, Cambridge University Press, vol. 22(3), pages 636-656, September.
    5. Denuit, Michel & Robert, Christian Y., 2021. "Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models," LIDAM Reprints ISBA 2021020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
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    More about this item

    Keywords

    Mortality risk pooling ; tontine ; conditional mean risk sharing ; risk transfer network structure;
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