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Can a Continuously-Liquidating Tontine (or Mutual Inheritance Fund) Succeed where Immediate Annuities Have Floundered?
Age Characteristics Annuities Investment Return Investment Funds Saving Retirement
2015/4/23
A new instrument (the Mutual Inheritance Fund or MIF) is proposed whose purpose is to help people carry their savings forward from the moment they retire into their old age. Like annuities, this instr...
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
Optimal Reversible Annuities Minimize Probability Lifetime Ruin
2010/10/18
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a l...
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Mortality Risk Sharpe Ratio Life Annuities
2010/12/13
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this ri...