ACTUARIAL FAIRNESS AND SOLIDARITY IN POOLED ANNUITY FUNDS
ACTUARIAL FAIRNESS AND SOLIDARITY IN POOLED ANNUITY FUNDS
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DOI：
10.1017/asb.2014.18
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发表时间：
2013-11
期刊：
影响因子：
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通讯作者：
C. Donnelly
中科院分区：
文献类型：
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作者：
C. Donnelly
文献中提出了各种类型的结构，使一组个体能够汇集他们的死亡风险。这些结构统称为汇集年金基金。由于汇集年金基金提出了不同的汇集死亡风险的方法，我们研究了它们之间的联系，并发现它们对于有限的异质会员档案是真正不同的。我们讨论了精算公平的重要性，定义为预期收益等于每个成员的贡献，在汇集死亡风险的背景下，并评论了精算不公平是否可以被视为成员之间的团结。我们证明，在基金成员数量有限的情况下，团体自年化计划在精算上是不公平的：一些成员补贴其他成员。这意味着，补贴其他成员国的成员国可能会通过加入一个成员资格更有利的基金而获得更高的预期收益。然而，我们发现补贴只有对非常小的或高度异质的成员概况才具有财务意义。
Abstract Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different methods of pooling mortality risk, we investigate the connections between them and find that they are genuinely different for a finite heterogeneous membership profile. We discuss the importance of actuarial fairness, defined as the expected benefits equalling the contributions for each member, in the context of pooling mortality risk and comment on whether actuarial unfairness can be seen as solidarity between members. We show that, with a finite number of members in the fund, the group self-annuitization scheme is not actuarially fair: some members subsidize the other members. The implication is that the members who are subsidizing the others may obtain a higher expected benefit by joining a fund with a more favorable membership profile. However, we find that the subsidies are financially significant only for very small or highly heterogeneous membership profiles.