Abstract The tendency of insurance providers to refrain from offering long-term guarantees on investment or mortality risk has shifted attention mutual pooling schemes like (modern) tontines, pooled annuities group self annuitization schemes. While the literature focused schemes, this paper builds advantage and morbidity risks, their inherent natural hedge. We introduce a modern “life-care tont...

The law of uniform seniority is an actuarial principle which justifies the replacement annuity on joint lives unequal ages by a single life, often computed at different rate. Gompertz's mortality prime example distribution meets this condition. This paper proposes extension to case two dependent and relates it aging concepts. In important special bilinear averaging function, shown that lifetime...

J ia n Su n is an executive director at a large financial institution in N ew York, NY. [email protected] C onsider a call swaption m aturing at tim e T > 0 w ritten on an underly ing swap m aturing at a later tim e T' > T. Let A t(T,T') be the spot price at time t e [0,T] o f a forward­ starting annuity whose payments begin at T and end at T'. Let F (T ,T ') be the forward swap rate at tim e...

The aim of the paper is to lay the theoretical foundations for the construction of a flexible tool that can be used by pensioners to find optimal investment and consumption choices in the distribution phase of a defined contribution pension plan. The investment/consumption plan is adopted until the time of compulsory annuitization, taking into account the possibility of earlier death. The effec...

Variable annuities, which package mutual funds with minimum return guarantees over long horizons, accounted for $1.5 trillion or 35% of U.S. life insurer liabilities in 2015. Sales decreased and fees increased during the global financial crisis, insurers made less generous stopped offering to reduce risk exposure. These effects persist low-interest environment after variable annuity suffered la...

This study aims to calculate Indonesian pension funds using the Group Self Anuitization method and Makeham's death law. The calculation of GSA is almost same as an annuity for life, so price determination procedure includes calculating level payments. rate projected by Makeham Mortality Law based on Table IV. Based analysis with premium amount, it known that benefits male are greater than women...