Modern Life-Care Tontines

Hieber, Peter; Lucas, Nathalie

doi:10.1017/asb.2022.6

Cited by 16 publications

(7 citation statements)

References 45 publications

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“…It is convenient to summarize the essential tontine properties. These properties are largely the same as in Hieber and Lucas (2022), with the exception that there are no payments to the estates of deceased members.…”

Section: Intuitionmentioning

confidence: 90%

“…. , m. Sharing rules which satisfy Property 3.1 are discussed in Sabin (2010Sabin ( , 2011, and sharing rules for the case where payments are made to just deceased members are described in, for example, Bernhardt and Donnelly (2018), Lucas (2022), andDenuit et al (2022), and the references therein.…”

Section: Intuitionmentioning

confidence: 99%

“…This will maximize tontine gains of survivors, which is the focus of the current study. Several previous studies have specified payments to the estates of members who die in (see, e.g., Bernhardt and Donnelly, 2018; Hieber and Lucas, 2022; Denuit et al. , 2022).…”

Section: Overview Of Individual Tontine Accountsmentioning

confidence: 99%

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Optimal performance of a tontine overlay subject to withdrawal constraints

Forsyth,

Vetzal,

Westmacott

2023

ASTIN Bull.

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We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65 and earns mortality credits while alive, but forfeits all wealth in the account upon death. The holder wants to maximize total withdrawals and minimize expected shortfall at the end of the retirement horizon of 30 years (i.e., it is assumed that the holder survives to age 95). The holder controls the amount withdrawn each year and the fraction of the retirement portfolio invested in stocks and bonds. The optimal controls are determined based on a parametric model fitted to almost a century of market data. The optimal control algorithm is based on dynamic programming and the solution of a partial integro differential equation (PIDE) using Fourier methods. The optimal strategy (based on the parametric model) is tested out of sample using stationary block bootstrap resampling of the historical data. In terms of an expected total withdrawal, expected shortfall (EW-ES) efficient frontier, the tontine overlay dramatically outperforms an optimal strategy (without the tontine overlay), which in turn outperforms a constant weight strategy with withdrawals based on the ubiquitous four per cent rule.

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Section: Intuitionmentioning

confidence: 90%

Section: Intuitionmentioning

confidence: 99%

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Optimal performance of a tontine overlay subject to withdrawal constraints

Forsyth,

Vetzal,

Westmacott

2023

ASTIN Bull.

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“…Notice that other authors have proposed relevant properties for risk sharing. For instance, Hieber and Lucas (2022) imposed self‐sufficiency, positivity, and fairness for the distribution of mortality credits in their modern life‐care tontines. In economics, Bourles et al (2021) studied the implications of altruistic transfers in risk sharing.…”

Section: Introductionmentioning

confidence: 99%

Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance

Denuit

Dhaene

Robert

2022

J of Risk & Insurance

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This paper offers a systematic treatment of risksharing rules for insurance losses, based on a list of relevant properties. A number of candidate risksharing rules are considered, including the conditional mean risk-sharing rule proposed in Denuit and Dhaene and the newly introduced quantile risksharing rule. Their compliance with the proposed properties is established. Then, methods for building new risk-sharing rules are discussed. The results derived in this paper are helpful in the development of peer-to-peer insurance (or crowdsurance), as well as to manage contingent risk funds where a given budget is distributed among claimants.

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“…It is nevertheless possible to generate lifelong incomes by investing in survivor funds over successive time intervals. This offers an alternative to group self-annuitization schemes of Piggott et al (2005) as well as to modern tontines or pooled annuity funds developed for example by Bernhardt and Donnelly (2021), Chen et al (2021), andLucas (2022).…”

Section: Introductionmentioning

confidence: 99%

Mortality Credits Within Large Survivor Funds

Denuit¹,

Hieber

Robert³

2022

ASTIN Bull.

Self Cite

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Survivor funds are financial arrangements where participants agree to share the proceeds of a collective investment pool in a predescribed way depending on their survival. This offers investors a way to benefit from mortality credits, boosting financial returns. Following Denuit (2019, ASTIN Bulletin, 49, 591–617), participants are assumed to adopt the conditional mean risk sharing rule introduced in Denuit and Dhaene (2012, Insurance: Mathematics and Economics, 51, 265–270) to assess their respective shares in mortality credits. This paper looks at pools of individuals that are heterogeneous in terms of their survival probability and their contributions. Imposing mild conditions, we show that individual risk can be fully diversified if the size of the group tends to infinity. For large groups, we derive simple, hierarchical approximations of the conditional mean risk sharing rule.

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Modern Life-Care Tontines

Cited by 16 publications

References 45 publications

Optimal performance of a tontine overlay subject to withdrawal constraints

Optimal performance of a tontine overlay subject to withdrawal constraints

Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance

Mortality Credits Within Large Survivor Funds

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