英文标题：
《Swimming with Wealthy Sharks: Longevity, Volatility and the Value of
Risk Pooling》
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作者：
Moshe A. Milevsky
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最新提交年份：
2018
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英文摘要：
Who {\\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy more likely to appreciate the pooling of longevity risk? What if the unhealthy retiree is pooled with someone who is much healthier and thus forced to pay an implicit loading? To answer these and related questions this paper examines the empirical conditions under which retirees benefit (or may not) from longevity risk pooling by linking the {\\em economics} of annuity equivalent wealth (AEW) to {\\em actuarially} models of aging. I focus attention on the {\\em Compensation Law of Mortality} which implies that individuals with higher relative mortality (e.g. lower income) age more slowly and experience greater longevity uncertainty. Ergo, they place higher utility value on the annuity. The impetus for this research today is the increasing evidence on the growing disparity in longevity expectations between rich and poor.
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中文摘要：
谁{\\em更看重}终身年金？是健康的退休人员期望长寿并可能成为百岁老人，还是不健康的退休人员期望寿命较短，更有可能意识到长寿风险的共担？如果不健康的退休人员与健康得多的人合并，从而被迫支付隐性负担，会怎么样？为了回答这些和相关的问题，本文通过将年金等价财富（AEW）的{em经济学}与{em精算}老龄化模型联系起来，研究了退休人员从长寿风险池中受益（或可能不受益）的经验条件。我将注意力集中在{\\em死亡率补偿定律}上，这意味着相对死亡率较高（例如收入较低）的个人年龄增长较慢，寿命不确定性较大。因此，他们将更高的效用价值放在年金上。今天，这项研究的推动力是越来越多的证据表明，富人和穷人之间的寿命预期差距越来越大。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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