{"title":"大额遗属基金内的死亡抵减额","authors":"M. Denuit, P. Hieber, C. Robert","doi":"10.1017/asb.2022.13","DOIUrl":null,"url":null,"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.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"572 1","pages":"813 - 834"},"PeriodicalIF":1.7000,"publicationDate":"2022-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS\",\"authors\":\"M. Denuit, P. Hieber, C. Robert\",\"doi\":\"10.1017/asb.2022.13\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":8617,\"journal\":{\"name\":\"ASTIN Bulletin\",\"volume\":\"572 1\",\"pages\":\"813 - 834\"},\"PeriodicalIF\":1.7000,\"publicationDate\":\"2022-06-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ASTIN Bulletin\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1017/asb.2022.13\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ASTIN Bulletin","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/asb.2022.13","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
期刊介绍:
ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.