2018/11/27 by Moshe A. Milevsky, Milevsky, Moshe A. · 1 citation
Business, Management and Accounting · Health Professions · Social Sciences · #97M30 #FOS: Economics and business #Financial Literacy, Pension, Retirement Analysis #Global Health Care Issues #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.1811.11326
openalex publication_date 2018/11/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Who em values life annuities more? Is it the healthy retiree who expects\nto live long and might become a centenarian, or is the unhealthy retiree with a\nshort life expectancy more likely to appreciate the pooling of longevity risk?\nWhat if the unhealthy retiree is pooled with someone who is much healthier and\nthus forced to pay an implicit loading? To answer these and related questions\nthis paper examines the empirical conditions under which retirees benefit (or\nmay not) from longevity risk pooling by linking the em economics of annuity\nequivalent wealth (AEW) to em actuarially models of aging. I focus attention\non the em Compensation Law of Mortality which implies that individuals with\nhigher relative mortality (e.g. lower income) age more slowly and experience\ngreater longevity uncertainty. Ergo, they place higher utility value on the\nannuity. The impetus for this research today is the increasing evidence on the\ngrowing disparity in longevity expectations between rich and poor.\n