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Insurers as Asset Managers and Systemic Risk

Ellul, Andrew; Jotikasthira, Chotibhak; Kartasheva, … - 2021

Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory...

Persistent link: https://www.econbiz.de/10013248987

Insurers As Asset Managers and Systemic Risk

Ellul, Andrew - 2020

Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. We present a model in the context of the U.S. life insurance industry in which variable annuity (VA) guarantees and associated hedging operate within the regulatory capital...

Persistent link: https://www.econbiz.de/10012853169

Lifetime Ruin Minimization : Should Retirees Hedge Inflation or Just Worry About it?

Huaxiong, Huang - 2011

Inflation for retirees is different from, and mostly higher than, the macroeconomic (average) inflation rate for the entire population. In the U.S. for example, the Consumer Price Index for the Urban population (CPI-U) calculated and reported by the Bureau of Labor Statistics (BLS) has a lesser...

Persistent link: https://www.econbiz.de/10013125606

Less-expensive long-term annuities linked to mortality, cash and equity

Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207

Persistent link: https://www.econbiz.de/10014306947

Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies

Sun, Jin - 2019

Traditional life insurance policies offer no equity investment opportunities for the premium paid, and suffer from low returns over the long insurance terms. Modern equity-linked insurance policies offer equity investment opportunities exposed to equity market risk. To combine the low-risk of...

Persistent link: https://www.econbiz.de/10012891148

Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products : The Effect of Investment Risk

Stevens, Ralph - 2011

uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities … can be substantial, and that there exists a (natural) hedge potential from combining single life annuities with death …

Persistent link: https://www.econbiz.de/10013127855

Longevity Risk Management for Life and Variable Annuities : Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

Sherris, Michael - 2012

product providers of annuities and pensions. This paper investigates the effectiveness of static hedging strategies for … models are developed for the underlying risks in annuities. The market model is a regime switching vector error correction … longevity risk substantially for life annuities, but significantly less for deferred annuities. For inflation indexed annuities …

Persistent link: https://www.econbiz.de/10013116210

Chapter 4 : ‘Helping Savers to Manage Longevity Risk’

Blake, David P. - 2020

A particularly important issue in retirement income provision is longevity risk. There are two components to longevity risk. The first is the uncertainty over how long any particular pension scheme member is going to live after retirement. This is known as idiosyncratic longevity risk. Both...

Persistent link: https://www.econbiz.de/10012829587

Geographical Diversification and Longevity Risk Mitigation in Annuity Portfolios

De Rosa, Clemente - 2019

This paper provides a method to assess the risk relief deriving from a foreign expansion by a life-insurance company. We build a parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in domestic versus foreign populations. We provide three...

Persistent link: https://www.econbiz.de/10012857938

On the Hedging of Variable Annuities with Ratchet in Jump Models

Kélani, Abdou - 2014

This paper suggests a unified methodology for assessing the risk embedded in ratchet guarantees offered in life insurance Variable Annuity contracts. Using a non-Gaussian setting in line with most stylized features observed in the market, we address these questions from an operational risk...

Persistent link: https://www.econbiz.de/10013055148