Donnelly, Catherine; Guillén, Montserrat; Nielsen, … - In: Insurance: Mathematics and Economics 52 (2013) 1, pp. 65-76
We analyze a pooled annuity fund from a participant’s perspective by comparing it to a mortality-linked fund, a type of variable payout life annuity, that gives a return linked to the force of mortality but subject to a cost. Fixing the instantaneous volatility of return on wealth, we find...