大额遗属基金内的死亡抵减额

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2022-06-15 DOI:10.1017/asb.2022.13

M. Denuit, P. Hieber, C. Robert

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引用次数: 5

摘要

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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MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS

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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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

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.