Modern Tontines
Research publication
Research on pensions, longevity sharing, fixed income and the market structures that shape them.
Independent research · Edinburgh
Research and practical models for pensions and financial markets
Avrox Asset is Russ Oxley’s independent research and consultancy company. It publishes Modern Tontines, develops financial models and undertakes selected institutional work.
Project index
P.01Fair Tontine Engine
Research / prototype
Research and software for allocating longevity credits fairly when pool members differ in age and account size.
CRZ Pricing
Commercial relationship
Institutional cross-asset derivatives pricing and risk, extended into bespoke desk workflows.
01 / Current work
Current work
Retirement-income research, interactive models and institutional derivatives technology—each with a clear route to the underlying work.
Modern Tontines
Modern Tontines is Russ Oxley’s independent writing on retirement income and financial markets, with a focus on how ideas work under real institutional rules and constraints.
Read Modern TontinesFair Tontine Engine
The Fair Tontine Engine, which implements the Fair Transfer Plan (FTP), combines the allocation method with a working software prototype.
Open the Fair Tontine EngineCRZ Pricing
Avrox provides research support and commercial introductions for CRZ Pricing and builds desk-specific research, monitoring and automation around its API. CRZ Pricing is a separate company.
Explore CRZ desk workflows02 / Research
Explore the models
Move from a pension promise to its hedge, follow a retirement contribution through a target-date ladder over 30 years, or inspect the transfer mathematics behind the Fair Tontine Engine.
Liability hedging research
From 400 pension members to a gilt hedge
The model builds each member’s projected cashflows, maps their forward-rate exposure and constructs a hedge across a 61-gilt worked universe. The 46-gilt portfolio leaves £4.4k of absolute residual PV01 unmatched: 2.4% residual exposure and a 97.6% fit on a £181.3m liability.
Match the exposure shape, not just the present value.Open the liability-hedging model
March 2026 worked hedge2041–46 maturity slice
6 of 46 lines£46.4m nominal
| Line | Gilt | Term | Notional | Market value |
|---|---|---|---|---|
| 19 | 4.25% 2046 | 20.7y | £2.4m | £2.1m |
| 20 | 0.875% 2046 | 19.9y | £9.1m | £4.1m |
| 21 | 3.5% 2045 | 18.9y | £7.5m | £6m |
| 22 | 3.25% 2044 | 17.9y | £9.1m | £7m |
| 23 | 4.5% 2042 | 16.7y | £10m | £9.4m |
| 24 | 1.25% 2041 | 15.6y | £8.3m | £4.9m |
03
Inspect six positions from the 46-gilt worked portfolio.
400 members61 gilt universe£4.4k absolute residual PV01
Target-date tontine
One contribution. A portfolio for each payment year.
Capital is divided across annual target-date portfolios, each de-risking towards its payment year. The Fair Tontine Engine, which implements the Fair Transfer Plan (FTP), allocates mortality credits among the remaining members.
Pool size
30-year simulation
Pool size changes late-life income stability and the likelihood of wind-down.
The ladder manages the investment path. FTP manages transfers between members.
Open the 30-year simulationFair Tontine Engine
Nominal gain, corrected to exact fairness
The Fair Tontine Engine, which implements the Fair Transfer Plan (FTP), starts with the nominal-gain allocation. A recipient correction and an estate correction produce Sabin’s exact share for every transfer.
01Nominal gain
02Fairness corrections
03Exact FTP
Solve Sabin’s exact weights, conserve each estate and check each member’s expected gain.
4-member worked pool2 correction factors per transfer≈9 ms Sabin weight solve · 1,000 members
Open the Fair Tontine Engine 03 / About
Russ Oxley
Russ is a fixed-income and derivatives specialist with more than 25 years’ experience in investment management. He spent the core of his career at Ignis Asset Management, where he developed the forward-rate investment framework, launched the Absolute Return Government Bond Fund and built the institutional rates and LDI business. He was subsequently Head of Fixed Income Absolute Return at Old Mutual Global Investors and Head of Macro at Cameron Hume.
Russ works part-time in investment research at Hymans Robertson and runs Avrox Asset separately. Avrox’s work is independent and does not represent the views of Hymans Robertson.
CompanyAvrox Asset Ltd
RegisteredScotland · SC751516
BasedEdinburgh
04 / Disclosures
Disclosures
Material published by Avrox Asset Ltd is general research and commentary. It is not investment, legal, tax or actuarial advice, a personal recommendation, or an invitation or offer to buy or sell a financial product.
Models and data
Models, prices and examples are illustrative and may use delayed or internally derived data. Check the stated assumptions and verify data before relying on it.
Regulatory status
Avrox Asset Ltd is not authorised or regulated by the Financial Conduct Authority. It does not manage investments, hold client money or operate a pension, insurance or investment product.
CRZ Pricing
Avrox Asset provides research support and commercial introductions to CRZ Pricing and may receive commission. CRZ Pricing is a separate company responsible for its own services and contracts.
Separate property company
Avrox Investment Solutions Ltd (SC568285) is a separate property company. It owns and lets property and does not provide investment management, financial technology, research or software.
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05 / Contact