As the lifetime tension of the human all of the world, the financial burden of government, company and insurance company which manage the annuities is becoming heavier and heavier, the result is called longevity risk. Longevity risk belongs to systematic risk, which cannot be solved by law of large numbers, the only way to this is to find the subject that can pay for this. About longevity risk, the results of foreign researchers are mainly focused on the longevity risk securitization, however, China's capital market is still not perfect, and till now, this kind of product still not exist in China. The main innovation of this paper is that we put forward the model of the pooled annuity fund in which the systemic longevity risk is borne by the consumers, and the individual longevity risk is borne by the annuity pool. The pooled annuity fund can provide the participants with cash flow for pension reserve which is similar to ordinary pension annuity, but the originator should not face for systemic longevity risk, namely, a group of consumers who have pension reserve requirements pool together by their contributions, and the fund of their contributions is worked by professional insurance company or fund company. Every year the payment is adjusted according to the prescribed manner and mortality rates and interest rates in real time. What's more, when a member die, he will lose the rights and interests of his pension. The searchers in China have not began to this study, and the foreign researchers' result is mainly focused on the payment recursive model. But the results till now about pooled annuity fund still have two defects: the first one is when dedecing the recursive model, the influence of the life extension for annuity actuarial present value's calculation is omitted; the second is when talking about the similarities and differences of ordinary annuity and pooled annuity fund, the results only stay in the qualitative analysis, more accurate and reasonable results have not been reached, so this article measure the value of pooled annuity fund from this two angles: the first one is on the basis of predecessors' research results and the "rule of actuarial fair", we deduce the payment recursive model, and then select stochastic dynamic Compertz-Makeham mortality trend extrapolation model and parts of population data of China to measure the distribution of the amount of the pension of pooled annuity fund each year; Then, contrast the difference between ordinary pensions and pooled annuity fund by the size of the adverse selection risk, namely, in this regard, based on the certainty equivalent method, partial derivative of the money that the consumers want to spend on the ordinary pensions and pooled annuity fund to the Survival rates based on The subjective intention of consumers is secelted to measure the adverse selection risk, and at last, by building appropriate assumption, we contrast the adverse selection risk of ordinary annuities and pooled annuity fund.
