A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is e…
A new tontine design aims to protect longevity risk with non-indexed investments.
We introduce a new pension product that offers retirees the opportunity for a lifelong income and a bequest for their estate. Based on a tontine mechanism, the product divides pension savings between a tontine account and a bequest account. The tontine account is given up to a tontine pool upon death while the bequest …
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the gambling instinc}, it is a suboptimal way to generate retirement income. Indeed, actuarially-fair life annuities making c…
The paper addresses optimal control in modern tontines with bequest preferences, showing a linear investment strategy.
New tontine model with transaction costs for retirees.
Optimal tontine strategy maximizes withdrawals while minimizing shortfall.
Paper finds closed-form solutions for tontine with bequest motive.
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements while retaining the value of mortality credits; see for example Piggott, Valdez an…
The paper explores how to fairly share longevity risk among participants of tontine schemes.
Optimizes retirement income with MBGs and neural networks for longevity risk.