Bivariate Bernoulli Weighted Sums and Distribution of Single-Period Tontine Benefits

Michel Denuit () and Raluca Vernic ()
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Michel Denuit: Université Catholique de Louvain
Raluca Vernic: Ovidius University of Constanta

Methodology and Computing in Applied Probability, 2018, vol. 20, issue 4, 1403-1416

Abstract: Abstract This paper studies the distribution of particular weighted sums of Bernoulli random variables. The computing methods are applied to derive the probability distribution of the random amount of survivor credits to be shared among surviving participants in single-period tontine schemes. The effectiveness of this new arrangement can then be evaluated beyond the classical analysis based on crude approximations for the two first moments, only.

Keywords: Bernoulli indicator; Pure endowment; Life tables; Individual model; Longevity risk; 62P05; 65C20; 65C50 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11009-018-9625-4

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