Due to low interest rates and regulatory requirements, traditional life annuity products strain the balance sheets of the insurance companies and lose their customer attractiveness based on low returns. Hence, the insurance sector increasingly focuses on less capital intense products at the cost of guarantees to the customers. In this thesis we propose mortality-linked pooled annuity funds as one possible solution to address these challenges.We therefore consider tontines and group self-annuitization schemes from the class of pooled annuity funds. Furthermore, due to a lack of literature in context with pooled annuity funds, we introduce stochastic mortality models from the Lee-Carter model family and show that a combined Lee-Carter model has the best t to German mortality data to price the life insurance products. Based on this mortality model, we compare the chosen pooled annuity products numerically under a set of assumptions with the traditional life annuity. We then perform a sensitivity analysis on the parameters and evaluate the impact on the product payments. With continuing low interest rate levels we found that mortality-linked pooled annuity products should be considered as an alternative to the traditional life annuity.     «

Due to low interest rates and regulatory requirements, traditional life annuity products strain the balance sheets of the insurance companies and lose their customer attractiveness based on low returns. Hence, the insurance sector increasingly focuses on less capital intense products at the cost of guarantees to the customers. In this thesis we propose mortality-linked pooled annuity funds as one possible solution to address these challenges.We therefore consider tontines and group self-annuitiz...     »