Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes
研究了群体自年金化方案在应对系统性死亡率改善时的局限性，通过多因子随机死亡率模型模拟，展示了如何提高风险池化效果并量化系统性长寿风险的影响。
A BSTRACT Group self‐annuitization (GSA) schemes are designed to share uncertain future mortality experience including systematic improvements. Challenges for designing group pooled schemes include decreasing average payments when mortality improves significantly, decreasing numbers in the pool at older ages, and the impact of dependence from systematic mortality improvements across different ages of members in the pool. This article uses a multiple‐factor stochastic mortality model in a simulation study to show how pooling can be made more effective and to quantify the limitations of these pooling schemes arising from the impact of systematic longevity risk.