The modern tontine. An innovative instrument for longevity risk management in an aging society
type: Item
instance of: scholarly article
title: The modern tontine. An innovative instrument for longevity risk management in an aging society
zbMATH Open document ID: 1480.91252
author: Jan-Hendrik Weinert
author: Helmut Gründl
published in: European Actuarial Journal
publication date: 2021-12-17T00:00:00Z
review text: The changing social, financial and regulatory framework lead to the search for new product forms for private pension provision. Authors of the paper propose the traditional tontine to use as a new product especially in combination with a traditional life annuity. To assess the effects of tontine investments on policyholders, authors develop a life utility model based on \textit{multi cumulative prospect theory}. To show the effects of a tontine investment on retirement planning, authors establish the development of the population structure in Germany. Based on the mortality dynamics, they describe a fair revolving tontine. The results obtained show that a portfolio of annuity and tontine can provide the highest expected \textit{multi cumulative prospect theory} utility.
reviewed by: Jonas Šiaulys
Mathematics Subject Classification ID: 91G05
zbMATH DE Number: 7447460
zbMATH Keywords: life insurance
zbMATH Keywords: tontines
zbMATH Keywords: annuities
zbMATH Keywords: asset allocation
zbMATH Keywords: retirement welfare
zbMATH Keywords: aging society
MaRDI profile type: Publication
full work available at URL: s13385-020-00253-y
OpenAlex ID: W3108930976
cites work: Prospect theory and asset prices
cites work: Modern tontine with bequest: innovation in pooled annuity products
cites work: TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
cites work: ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES
cites work: Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
cites work: Financial Economics
cites work: Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
cites work: Prediction of remaining life of power transformers based on left truncated and right censored lifetime data
cites work: Prospect Theory: An Analysis of Decision under Risk
cites work: Modeling and Forecasting U.S. Mortality
cites work: The Calculus of Retirement Income
cites work: Optimal retirement income tontines
cites work: EQUITABLE RETIREMENT INCOME TONTINES: MIXING COHORTS WITHOUT DISCRIMINATING
cites work: On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
cites work: Lee-Carter mortality forecasting with age-specific enhancement.
cites work: Advances in prospect theory: cumulative representation of uncertainty
cites work: Q4889035
DOI: 10.1007/S13385-020-00253-Y
description: scientific article; zbMATH DE number 7447460