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A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Sun, Jin - 2017

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fees are charged respectively for the market...

Persistent link: https://www.econbiz.de/10012956555

Fair Valuation of Cliquet-Style Return Guarantees in (Homogeneous and) Heterogeneous Life Insurance Portfolios

Hieber, Peter - 2019

is typically discussed from the viewpoint of a single contract or a homogeneous insurance portfolio, contracts are, in …

Persistent link: https://www.econbiz.de/10012903690

Valuing Variable Annuity Guarantees on Multiple Assets

Ziveyi, Jonathan - 2015

Guarantees embedded variable annuity contracts exhibit option-like payoff features and the pricing of such instruments naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the Guaranteed Minimum Maturity Benefit and the...

Persistent link: https://www.econbiz.de/10013011325

Evaluation of the Surrender and the Minimum Guaranteed Rate of Return Options in Life Insurance Products

Pimentel, Pedro Miguel - 2010

This paper aims to value a Guaranteed Investment Contract (GIC), offered by insurance companies, with a minimum rate of … return and an option to surrender the contract (surrender option) at any time before the maturity date. The valuation … framework uses a set of different models to value each one of these two options included on a GIC contract commercialized by a …

Persistent link: https://www.econbiz.de/10013144610

Is ESG a Systematic Risk Factor for US Equity Mutual Funds?

Jin, Ick - 2021

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

Persistent link: https://www.econbiz.de/10013252157

Minimum Return Rate Guarantees Under Default Risk - Optimal Design of Quantile Guarantees

Mahayni, Antje Brigitte - 2017

The paper analyzes the design of participating life insurance contracts with minimum return rate guarantees. Without default risk, the insured receives the maximum of a guaranteed rate and a participation in the investment returns. With default risk, the payoff is modified by a default put...

Persistent link: https://www.econbiz.de/10012959931

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 investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

Persistent link: https://www.econbiz.de/10013363078

Investment Strategies with Illiquid Life Insurance Investment and Intergenerational Return Smoothing

Kümmerle, Ruth - 2016

With-profit life insurance contracts are designed with a return smoothing collective savings component sharing the investment risks amongst different generations of policyholders. We analyze the resulting implications from the point of view of a multi-asset mean-variance investor by evaluating...

Persistent link: https://www.econbiz.de/10012997488

Stable value funds : performance to date

Babbel, David F.; Herce, Miguel A. - 2011

Little in the scholarly economics literature is directed specifically to stable value funds, although they occupy a leading place among retirement investment vehicles. They are offered in almost half of all defined contribution plans in the USA, with more than $800 billion dollars worth of...

Persistent link: https://www.econbiz.de/10011893025

A mixed bond and equity fund model for the valuation of variable annuities

Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10012437276