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Data, 2018 Dynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. To simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested ...
Guojun Gan, Emiliano A. Valdez
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Guaranteed Annuity Options [PDF]
ASTIN Bulletin, 2003 Under a guaranteed annuity option, an insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the insurer has to make up the difference. Such guarantees are
Boyle, Phelim, Hardy, Mary
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Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk [PDF]
, 2006 The purpose of this paper is to analyze the problem of the fair valuation of annuities contracts. The market consistent valuation of these products requires a pricing framework which includes the two main sources of risk affecting the value of the ...
Ballotta, L., Esposito, G., Haberman, S.
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Stimulating Annuity Markets [PDF]
SSRN Electronic Journal, 2014 AbstractWe study the short-, medium-, and long-run implications of stimulating annuity markets in a dynamic general-equilibrium overlapping-generations model. We find that beneficial partial-equilibrium effects of stimulating annuity markets are counteracted by negative general-equilibrium repercussions.
Trimborn, Timo +2 more
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Evidence on Annuity Choices in Chile
Estudios de Administración, 2012 This study analyzes the empirical determinants of the annuity choice using data on retirees from the Chilean labor market. We find that sales agents, knowledge about the pension system, and greater education will be associated with an increase in the ...
José Luis Ruiz
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Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
Dependence Modeling, 2017 Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts.
Gan Guojun, Valdez Emiliano A.
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SSRN Electronic Journal, 2021 We propose and estimate a model of demand and supply of annuities. To this end, we use rich data from Chile, where annuities are bought and sold in a private market via a two-stage process: first-price auctions followed by bargaining. We model firms with private information about costs and retirees with different mortalities and preferences for ...
Aryal, Gaurab +3 more
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Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions
Risks, 2018 A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming.
Guojun Gan
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Optimal Annuity Risk Management [PDF]
SSRN Electronic Journal, 2009 This paper studies the life-cycle consumption and portfolio choice problem taking account of annuity risk at retirement. The study allows for government-provided annuity income. Optimally, households allocate retirement wealth to nominal, inflation-linked and variable annuities, and condition this choice on the state of the economy.
Ralph S. J. Koijen +2 more
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Cauchy: Jurnal Matematika Murni dan AplikasiAnnuity is a financial concept that involves a series of periodic payments or receipts. In oil palm plantation management, the annuity concept is adapted to model and estimate the reserves required for replanting costs over time.
Rayyan Al Muddatstsir Fasa +2 more
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