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Optimal consumption and portfolio choice for pooled annuity funds

Citations

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Cited by:

  1. Wolfram J. Horneff & Raimond H. Maurer, 2008. "Deferred Annuities and Strategic Asset Allocation," Working Papers wp178, University of Michigan, Michigan Retirement Research Center.
  2. Milevsky, Moshe A. & Salisbury, Thomas S., 2016. "Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 571-604, September.
  3. Dagpunar, John, 2021. "Closed-form solutions for an explicit modern ideal tontine with bequest motive," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 261-273.
  4. Chen, An & Hieber, Peter & Rach, Manuel, 2021. "Optimal retirement products under subjective mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 55-69.
  5. Xie, Lin & Chen, Lv & Qian, Linyi & Li, Danping & Yang, Zhixin, 2023. "Optimal investment and consumption strategies for pooled annuity with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 129-155.
  6. Hieber, Peter & Lucas, Nathalie, 2020. "Life-Care Tontines," LIDAM Discussion Papers ISBA 2020026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Milevsky, Moshe A. & Salisbury, Thomas S., 2015. "Optimal retirement income tontines," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 91-105.
  8. Carole Bernard & Marco Feliciangeli & Steven Vanduffel, 2025. "Can an actuarially unfair tontine be optimal?," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 50(1), pages 39-71, March.
  9. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2014. "Bringing cost transparency to the life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 14-27.
  10. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
  11. John Armstrong & James Dalby & Rohan Hobbs, 2025. "Collective Defined Contribution Schemes Without Intergenerational Cross-Subsidies," Papers 2504.16892, arXiv.org, revised May 2025.
  12. Chen, An & Rach, Manuel, 2023. "Actuarial fairness and social welfare in mixed-cohort tontines," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 214-229.
  13. Michel Denuit & Raluca Vernic, 2018. "Bivariate Bernoulli Weighted Sums and Distribution of Single-Period Tontine Benefits," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1403-1416, December.
  14. Thomas Bernhardt & Catherine Donnelly, 2020. "Quantifying the trade-off between income stability and the number of members in a pooled annuity fund," Papers 2010.16009, arXiv.org.
  15. Bernhardt, Thomas & Donnelly, Catherine, 2019. "Modern tontine with bequest: Innovation in pooled annuity products," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 168-188.
  16. Chao Qiao & Michael Sherris, 2011. "Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes," Working Papers 201104, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  17. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2013. "Exchanging uncertain mortality for a cost," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 65-76.
  18. Lin He & Zongxia Liang & Sheng Wang, 2022. "Modern Tontine with Transaction Costs," Papers 2209.09709, arXiv.org, revised Jun 2023.
  19. Hanbali, Hamza, 2025. "Mean-variance longevity risk-sharing for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 207-235.
  20. Annamaria Olivieri, 2021. "Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario," Risks, MDPI, vol. 9(11), pages 1-18, October.
  21. Shuanglan Li & Héloïse Labit Hardy & Michael Sherris & Andrés M. Villegas, 2022. "A Managed Volatility Investment Strategy for Pooled Annuity Products," Risks, MDPI, vol. 10(6), pages 1-30, June.
  22. John Dagpunar, 2020. "Closed-form Solutions for an Explicit Modern Ideal Tontine with Bequest Motive," Papers 2005.00715, arXiv.org, revised Jun 2021.
  23. Jan L. M. Dhaene & Moshe A. Milevsky, 2024. "Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat," Papers 2402.00855, arXiv.org.
  24. Marcel Bräutigam & Montserrat Guillén & Jens P. Nielsen, 2017. "Facing Up to Longevity with Old Actuarial Methods: A Comparison of Pooled Funds and Income Tontines," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 42(3), pages 406-422, July.
  25. Dhaene, Jan & Milevsky, Moshe A., 2024. "Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 238-250.
  26. Bégin, Jean-François & Sanders, Barbara, 2024. "Benefit volatility-targeting strategies in lifetime pension pools," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 72-94.
  27. Chen, An & Guillen, Montserrat & Rach, Manuel, 2021. "Fees in tontines," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 89-106.
  28. Hanewald, Katja & Piggott, John & Sherris, Michael, 2013. "Individual post-retirement longevity risk management under systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 87-97.
  29. Moshe A. Milevsky & Thomas S. Salisbury, 2025. "The Riccati tontine: how to satisfy regulators on average," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 50(1), pages 72-102, March.
  30. Chen, An & Rach, Manuel, 2019. "Options on tontines: An innovative way of combining tontines and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 182-192.
  31. Thorsten Moenig & Nan Zhu, 2025. "Adverse selection in tontines," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 50(1), pages 6-38, March.
  32. Abdikerimova, Samal & Feng, Runhuan, 2022. "Peer-to-peer multi-risk insurance and mutual aid," European Journal of Operational Research, Elsevier, vol. 299(2), pages 735-749.
  33. Thomas Bernhardt & Catherine Donnelly, 2019. "Modern tontine with bequest: innovation in pooled annuity products," Papers 1903.05990, arXiv.org.
  34. Chao Qiao & Michael Sherris, 2013. "Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 949-974, December.
  35. John Armstrong & Cristin Buescu & James Dalby, 2024. "Optimal post-retirement investment under longevity risk in collective funds," Papers 2409.15325, arXiv.org.
  36. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.
  37. Lambregts, Timo R. & Schut, Frederik T., 2020. "Displaced, disliked and misunderstood: A systematic review of the reasons for low uptake of long-term care insurance and life annuities," The Journal of the Economics of Ageing, Elsevier, vol. 17(C).
  38. An Chen & Alexander Muermann & Casey Rothschild, 2025. "Tontines and their modern (re)discovery," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 50(1), pages 1-5, March.
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