Fairness and risk sharing in integrated LRD-tontine schemes under Volterra mortality risk

Jingwen Kang, Zhuo Jin, Linyi Qian and Nan Zhang

ASTIN Bulletin, 2025, vol. 55, issue 3, 644-667

Abstract: As the global elderly population expands, the associated risks of longevity intensify, presenting significant challenges to traditional retirement security systems. We study actuarial fairness in tontines under the Volterra mortality framework, integrating long-range dependence mortality models rates with tontine structures. Initially, we establish an optimal tontine model for a homogeneous tontine under this framework. However, according only to individual actuarial fairness can neglect the collective nature of tontines. So we propose a hybrid optimization model that accounts for age and wealth discrepancies affecting payment amounts and the collective fairness. Specially, we first apply the f-value fairness measure in age-heterogeneous tontines for assessing fairness. Our results reveal that while the model ensures actuarial fairness at the group level, relative payments are lower for older age groups. By incorporating dynamic mortality modeling through the Volterra mortality framework, our work demonstrates that this comprehensive scheme significantly enhances the robustness and sustainability of retirement security systems. These findings provide valuable insights for the future integration of dynamic mortality models with innovative retirement income structures.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:55:y:2025:i:3:p:644-667_8

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().