Ngugnie Diffouo, Pauline
[UCL]
Devolder, Pierre
[UCL]
In this paper, we propose two financial-longevity risk-sharing methods based on an existing risk-linked annuity. Within a specific framework, we first propose the risk-sharing group self-annuitization (GSA), where different proportions of financial and longevity risks are shared between a group of annuitants and the insurer. Secondly, we propose the complete risk-sharing GSA. We implicitly define a set of annuity products which depend on the risk proportion borne by a group of annuitants. The defined set of annuities goes from the classical annuity to the GSA.
Bibliographic reference |
Ngugnie Diffouo, Pauline ; Devolder, Pierre. Design of risk sharing for risk-linked annuities. In: International Journal of Financial Engineering, , p. 2150021 (2021) |
Permanent URL |
http://hdl.handle.net/2078.1/248895 |