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互助与保险

Closed-Form Optimal Tontine Payouts under a Discrete-Time Affine Mortality Model

SSRN Electronic Journal · 2026
作者:Marcos Escobar-Anel
期刊:SSRN Electronic Journal
年份:2026
分类:互助与保险

内容概要

We study the problem of optimal retirement-income design in a pure discrete-time tontine subject to both idiosyncratic and systematic longevity risk. To obtain analytical tractability, we model mortality using a discrete-time affine counting process with a closed-form moment generating function (MGF).

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