WORKSHOP ON DEPENDENCE ANALYSIS
26 and 27 of SEPTEMBER, 2025
Institute of Mathematics, Statistics and Scientific
Computation of the University of Campinas, Brazil
SATELLITE WORKSHOP OF
8th BRAZILIAN CONFERENCE ON STATISTICAL MODELING IN INSURANCE AND FINANCE
Title: Can an Actuarially Unfair Tontine Be Fair?
A one-period tontine is a collective investment fund in which every participant enters with an initial contribution, but only those participants who are still alive at maturity are entitled to receive a share of the total fund value. A vast literature proposes various sharing rules, primarily using actuarial fairness of the payout as the main criterion, i.e., the sharing is structured in a way that participants have the same (unconditional) expected return. We revisit this point and suggest alternative sharing rules aimed at better suiting investors. Specifically, we discuss how to share mortality risk using equality in expected utility among participants as our fairness criterion. A key finding is that, in a competitive market, only actuarially fair tontines are viable. (Joint work with Carole Bernard and Marco Feliciangeli).