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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Trading death : the implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios
Sutcliffe, Charles M. S. - In: International review of financial analysis 38 (2015), pp. 163-174
Persistent link: https://www.econbiz.de/10011337617
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Trading death : the implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios
Sutcliffe, Charles M. S. - 2013
Persistent link: https://www.econbiz.de/10009782737
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Trading Death : The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
Sutcliffe, Charles - 2013
Annuities are perceived as being illiquid financial instruments, and this has limited their attractiveness to consumers and inclusion in financial models. However, short positions in annuities can be replicated using life insurance and debt, permitting long positions in annuities to be offset,...
Persistent link: https://www.econbiz.de/10013072726
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Trading Death : The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
Sutcliffe, Charles - 2013
Annuities are perceived as being illiquid financial instruments, and this has limited their attractiveness to consumers and inclusion in financial models. However, short positions in annuities can be replicated using life insurance and debt, permitting long positions in annuities to be offset,...
Persistent link: https://www.econbiz.de/10013079573
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The annuity puzzle remains a puzzle
Peijnenburg, Kim; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of economic dynamics & control 70 (2016), pp. 18-35
Persistent link: https://www.econbiz.de/10011708624
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Valuing variable annuity guarantees on multiple assets
Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
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The Annuity Wager : Can Bonds Outperform a Life Annuity?
McQuarrie, Edward F. - 2022
odds-on favorite over the stretch of history examined. Mortality credits alone are not enough to favor the annuity. In the …
Persistent link: https://www.econbiz.de/10013404373
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Valuing Variable Annuity Guarantees on Multiple Assets
Ziveyi, Jonathan - 2015
dynamics are given by affine stochastic processes. Within the standard affine framework for the underlying mortality risk …, stochastic volatility and correlation risk, we develop the key ingredients to perform the pricing of such guarantees. The model …
Persistent link: https://www.econbiz.de/10013011325
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Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?
Gutierrez, Tomás; Pagnoncelli, Bernardo; Valladão, Davi; … - In: Insurance / Mathematics & economics 86 (2019), pp. 134-144
Persistent link: https://www.econbiz.de/10012058848