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Mortality credits within large survivor funds

Author

Listed:
  • Denuit, Michel

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

  • Hieber, Peter

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

  • Robert, Christian Y.

Abstract

Survivor funds are financial arrangements where participants agree to share the proceeds of a collective investment pool in a predescribed way depending on their survival. This offers investors a way to benefit from mortality credits, boosting financial returns. Following Denuit (2019, ASTIN Bulletin, 49, 591–617), participants are assumed to adopt the conditional mean risk sharing rule introduced in Denuit and Dhaene (2012, Insurance: Mathematics and Economics, 51, 265–270) to assess their respective shares in mortality credits. This paper looks at pools of individuals that are heterogeneous in terms of their survival probability and their contributions. Imposing mild conditions, we show that individual risk can be fully diversified if the size of the group tends to infinity. For large groups, we derive simple, hierarchical approximations of the conditional mean risk sharing rule.

Suggested Citation

  • Denuit, Michel & Hieber, Peter & Robert, Christian Y., 2022. "Mortality credits within large survivor funds," LIDAM Reprints ISBA 2022030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2022030
    DOI: https://doi.org/10.1017/asb.2022.13
    Note: In: ASTIN Bulletin, 2022, vol. 52(3), p. 813-834
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    Cited by:

    1. Denuit, Michel & Robert, Christian Y., 2022. "Allocation of benefits in mutual aid and survivor funds," LIDAM Discussion Papers ISBA 2022029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Zhanyi Jiao & Steven Kou & Yang Liu & Ruodu Wang, 2022. "An axiomatic theory for anonymized risk sharing," Papers 2208.07533, arXiv.org, revised May 2023.
    3. Denuit, Michel & Robert, Christian Y., 2023. "Conditional mean risk sharing of independent discrete losses in large pools," LIDAM Discussion Papers ISBA 2023010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Denuit, Michel & Robert, Christian Y., 2023. "Endowment contingency funds for mutual aid and public financing," LIDAM Discussion Papers ISBA 2023009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Jan L. M. Dhaene & Moshe A. Milevsky, 2024. "Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat," Papers 2402.00855, arXiv.org.

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