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q-fin.RM2025
Compensation-based risk-sharing
Jan Dhaene, Atibhav Chaudhry, Ka Chun Cheung +1
This paper studies the mathematical problem of allocating payouts (compensations) in an endowment contingency fund using a risk-sharing rule that satisfies full allocation. Besides…
q-fin.RM2024
'Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat'
Jan L. M. Dhaene, Moshe A. Milevsky
There is little disagreement among insurance actuaries and financial economists about the societal benefits of longevity-risk pooling in the form of life annuities, defined benefit…