Exchanging uncertain mortality for a cost

► We analyze a pooled annuity fund versus an annuity linked to a mortality index. ► We find expected returns when instantaneous volatility of return on wealth is fixed. ► Returns in the pooled fund are higher than in a high cost mortality-linked fund. ► Similar results are obtained when maximizing lifetime utility of consumption. ► Pooled annuity fund may be attractive regardless of investment time-horizon.