'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'
arxiv(2024)
摘要
There is little disagreement among insurance actuaries and financial
economists about the societal benefits of longevity-risk pooling in the form of
life annuities, defined benefit pensions, self-annuitization funds, and even
tontine schemes. Indeed, the discounted value or cost of providing an income
for life is lower – in other words, the amount of upfront capital required to
generate a similar income stream with the same level of statistical safety is
lower – when participants pool their financial resources versus going it
alone. Moreover, when participants' financial circumstances and lifespans are
homogenous, there is consensus on how to share the "winnings" among survivors,
namely by distributing them equally among survivors, a.k.a. a uniform rule.
Alas, what is lesser-known and much more problematic is allocating the winnings
in such a pool when participants differ in wealth (contributions) and health
(longevity), especially when the pools are relatively small in size. The same
problems arise when viewed from the dual perspective of decentralized risk
sharing (DRS). The positive correlation between health and income and the fact
that wealthier participants are likely to live longer is a growing concern
among pension and retirement policymakers. With that motivation in mind, this
paper offers a modelling framework for distributing longevity-risk pools'
income and benefits (or tontine winnings) when participants are heterogeneous.
Similar to the nascent literature on decentralized risk sharing, there are
several equally plausible arrangements for sharing benefits (a.k.a. "skinning
the cat") among survivors. Moreover, the selected rule depends on the extent of
social cohesion within the longevity risk pool, ranging from solidarity and
altruism to pure individualism. In sum, actuarial science cannot really offer
or guarantee uniqueness, only a methodology.
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