Unit-Linked Tontine: Utility-Based Design, Pricing and Performance

نویسندگان

چکیده

Due to the low demand for conventional annuities, alternative retirement products are sought. Quite recently, tontines have been frequently brought up as a promising option in this respect. Inspired by unit-linked life insurance and products, we introduce article, where tontine payoffs directly linked development of underlying financial market. More specifically, consider two different payoff structures differing (non-)inclusion guaranteed payments. We first price using risk-neutral pricing approach. Consequently, study attractiveness these utility-maximizing policyholder compare them with non-unit-linked tontines. Our numerical analysis sheds light on design challenges gives explanations why similar might not be widely adopted already.

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ژورنال

عنوان ژورنال: Risks

سال: 2022

ISSN: ['2227-9091']

DOI: https://doi.org/10.3390/risks10040078