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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … managed-volatility for pooled annuity funds. We show how the managed volatility strategy improves investment performance …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …
Persistent link: https://www.econbiz.de/10013363078
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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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Trading Death : The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
Sutcliffe, Charles M. S. - 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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The design of pension pay out options when the health status during retirement is uncertain
Kifmann, Mathias (contributor) - 2008
Persistent link: https://www.econbiz.de/10003635223
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The design of pension pay out options when the health status during retirement is uncertain
Kifmann, Mathias - In: Journal of public economic theory 12 (2010) 1, pp. 127-149
Persistent link: https://www.econbiz.de/10003946600
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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 M. S. - 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 Design of Pension Pay Out Options When the Health Status During Retirement is Uncertain
Kifmann, Mathias - 2021
This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the...
Persistent link: https://www.econbiz.de/10013316589
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Analysis of survivorship life insurance portfolios with stochastic rates of return
Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31
Persistent link: https://www.econbiz.de/10011740696