Options on tontines: an innovative way of combining tontines and annuities

DOI10.1016/j.insmatheco.2019.10.004zbMath1427.91221OpenAlexW2965887484WikidataQ126987914 ScholiaQ126987914MaRDI QIDQ2010907

Manuel Rach, An Chen

Publication date: 28 November 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.004

zbMATH Keywords

option pricingannuitynet loss analysisoptimal retirement productstontine

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items

MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS ⋮ Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ Tail index-linked annuity: A longevity risk sharing retirement plan ⋮ Care-dependent tontines ⋮ Fees in tontines ⋮ QUANTIFYING THE TRADE-OFF BETWEEN INCOME STABILITY AND THE NUMBER OF MEMBERS IN A POOLED ANNUITY FUND ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES ⋮ Tontines with mixed cohorts

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