We found a match
Your institution may have rights to this item. Sign in to continue.
- Title
MANAGING SYSTEMATIC MORTALITY RISK WITH GROUP SELF-POOLING AND ANNUITIZATION SCHEMES.
- Authors
Qiao, Chao; Sherris, Michael
- Abstract
Group self-annuitization (GSA) schemes are designed to share uncertain fu-ture mortality experience including systematic improvements. Challenges for designing group pooled schemes include decreasing average payments when mortality improves significantly, decreasing numbers in the pool at older ages, and the impact of dependence from systematic mortality im-provements across different ages of members in the pool. This article uses a multiple-factor stochastic mortality model in a simulation study to show how pooling can be made more effective and to quantify the limitations of these pooling schemes arising from the impact of systematic longevity risk.
- Subjects
MORTALITY; PAYMENT; STOCHASTIC analysis; POOLINGS of interest; OLD age; LONGEVITY; AGE (Psychology)
- Publication
Journal of Risk & Insurance, 2013, Vol 80, Issue 4, p949
- ISSN
0022-4367
- Publication type
Article
- DOI
10.1111/j.1539-6975.2012.01483.x