论文标题
量化收入稳定性与合并年金基金中成员人数之间的权衡
Quantifying the trade-off between income stability and the number of members in a pooled annuity fund
论文作者
论文摘要
研究了从封闭的合并年金基金中获得稳定收入的人数。收入稳定性定义为将收入保持在未来情况的固定比例的特定最初收入的公差之内。重点是量化成员人数的影响，该成员数量推动了基金中对收入稳定的特质寿命风险水平。为此，投资回报是恒定的，并省略了系统的寿命风险。一种分析表达，即近似于获得稳定收入的基金成员数量的分析表达，并被认为与死亡率模型无关。结果的应用是计算合并年金基金可以提供所需收入稳定水平的时间长度
The number of people who receive a stable income for life from a closed pooled annuity fund is studied. Income stability is defined as keeping the income within a specified tolerance of the initial income in a fixed proportion of future scenarios. The focus is on quantifying the effect of the number of members, which drives the level of idiosyncratic longevity risk in the fund, on the income stability. To do this, investment returns are held constant and systematic longevity risk is omitted. An analytical expression that closely approximates the number of fund members who receive a stable income is derived and is seen to be independent of the mortality model. An application of the result is to calculate the length of time for which the pooled annuity fund can provide the desired level of income stability
