Design of risk sharing for risk-linked annuities

Pauline Ngugnie Diffouo and Pierre Devolder ()
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Pauline Ngugnie Diffouo: Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, Belgium
Pierre Devolder: Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, Belgium

International Journal of Financial Engineering (IJFE), 2022, vol. 09, issue 02, 1-27

Abstract: 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.

Keywords: Financial-longevity risk; risk sharing; annuity; group self-annuitization (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S2424786321500213

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