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Value of Longevity Pooling

April 2019

The Society of Actuaries’ Pension Section has completed a research effort exploring the value of longevity pooling and its implications.  This page contains links to the following materials:

  • A simple Excel model developed by Moshe Milevsky that presents illustrations of the value of longevity pooling. The model allows a user to produce different scenarios by inputting values for interest rates and risk aversion. Users of the model are encouraged to provide comments on its design and areas for further development (with permission from the author).
  • An accompanying document for the Excel model that describes the concepts and assumptions underlying the model’s algorithm, several numerical samples, and related information. The document has been extracted from a forthcoming book entitled “Retirement Income Recipes in R”, Moshe A. Milevsky (with permission from the author).
  • An enhanced Excel model developed by Rowland Davis that includes calculations for joint lives and consideration of Social Security Benefits.
  • A paper by Daniel Bauer summarizing literature and findings related to longevity risk pooling. The paper includes discussion of how the value of longevity risk pooling is measured and a description of potential opportunities for pooling to support increased retirement security. Readers are encouraged to review the paper’s Appendix for detailed information on the underlying life cycle model supporting measurement of the benefit of pooling.  


Value of Longevity Pooling Workbook by Moshe Milevsky

Value of Longevity Pooling-Documentation by Moshe Milevsky

Value of Longevity Pooling with SS Benefits by Rowland Davis

Longevity Risk Pooling Report by Daniel Bauer

Thank You

The SOA’s Pension Section would like to thank the following individuals for serving on the Project Oversight Group:

Evan Inglis, Chair
John Deinum
Rowland Davis
Edson Edwards
Anna Rappaport
Steven Siegel, SOA Research Actuary
Andrew Peterson, SOA Staff Fellow
Lisa Schilling, SOA Retirement Research Actuary
Barbara Scott, SOA Sr. Research Administrator

Questions or Comments?

If you have comments or questions, please email

Disclaimer for Software Posted on Web site

Important: The draft Excel Model ("Software") posted on this site is the property of Moshe Milevsky (“the author”) and is protected under U.S. and international copyright laws.

The Software has been developed for the benefit of actuaries FOR EDUCATIONAL USE ONLY, although others may find it useful. SOA and the author make the Software available to individual users for their personal use on a non–exclusive basis. No commercial use, reproduction or distribution is permitted whatsoever.

SOA and the author make no warranty, guarantee, or representation, either expressed or implied, regarding the Software, including its quality, accuracy, reliability, or suitability, and HEREBY DISCLAIM ANY WARRANTY REGARDING THE SOFTWARE'S MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE. SOA and the author make no warranty that the Software is free from errors, defects, worms, viruses or other elements or codes that manifest contaminating or destructive properties. In no event shall SOA or the author be liable for any damages (including any lost profits, lost savings, or direct, indirect, incidental, consequential or other damages) in connection with or resulting from the use, misuse, reliance on, or performance of any aspect of the Software including any instructions or documentation accompanying the Software. SOA and the author make no representation or warranty of non–infringement of proprietary rights of others with respect to the Software. The entire risk as to the uses, outputs, analyses, results and performance of the Software is assumed by the user. This Disclaimer applies regardless of whether the Software is used alone or with other software.

Disclaimer for Materials Posted on this Web Page: The model, accompanying documentation, and methodologies contained herein do not represent an official position, statement, or endorsement on behalf of the Society of Actuaries or its members, nor should the material be construed to do so. It is the product of a research effort commissioned by the Society of Actuaries to add to the library of resource tools for longevity pooling and further knowledge in that area. The model is neither intended to preclude the use of other methodologies for any purpose nor provide a statement or position on the use, application, or preferability of other methodologies as compared to the methodology described herein.