MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-06-15 DOI:10.1017/asb.2022.13

M. Denuit, P. Hieber, C. Robert

引用次数: 5

Abstract

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.

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大额遗属基金内的死亡抵减额

摘要幸存者基金是一种财务安排，参与者同意根据他们的生存情况，以预先描述的方式分享集体投资池的收益。这为投资者提供了一种从死亡抵免中获益的方式，从而提高了财务回报。在Denuit (2019, ASTIN Bulletin, 49, 591-617)之后，假设参与者采用Denuit和Dhaene (2012, Insurance: Mathematics and Economics, 51, 265-270)引入的条件平均风险分担规则来评估他们各自的死亡信用份额。这篇论文从生存概率和贡献的角度研究了异质个体池。在温和的条件下，我们表明，如果群体的规模趋于无穷大，个人风险可以完全分散。对于大的群体，我们推导了条件平均风险分担规则的简单、分层近似。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.