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Design of risk sharing for risk-linked annuities

Author

Listed:
  • Ngugnie Diffouo, Pauline
  • Devolder, Pierre

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

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.

Suggested Citation

  • Ngugnie Diffouo, Pauline & Devolder, Pierre, 2021. "Design of risk sharing for risk-linked annuities," LIDAM Reprints ISBA 2021021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2021021
    DOI: https://doi.org/10.1142/s2424786321500213
    Note: In: International Journal of Financial Engineering, 2021
    as

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