{"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":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2022-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/asb.2022.13","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
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.
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.
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