Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

This paper discusses the allocation of aggregate longevity risk in the case of perfect insurance markets. We show that … the optimal allocation transfers some risk to the pensioners, even if pension providers have access to a perfect insurance … market. Individuals prefer contributions and benefits to depend on the evolution of aggregate mortality rates rather than …

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as … of longevity risk), and a reduced, index-dependent payment when the threshold is passed (i.e., highly unfavorable … evolution of longevity risk). The proposed TILA aims at not only improving the benefits of the policyholders, which has been the …

declining mortality rates, in particular at unanticipated levels. Increasing the annuity loading rewarding the accepted … longevity risk is not an option for annuity providers, given that individuals already consider annuities to be expensive. An … riskiness retained by the provider, so to make sure that the business value can represent appropriately the risk-return trade …