Results 21 to 30 of about 465 (165)
Variable Annuity with GMWB: Surrender Or Not, That Is the Question [PDF]
SSRN Electronic Journal, 2015 arXiv admin note: substantial text overlap with arXiv:1410 ...
Xiaolin Luo, Pavel Shevchenko
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On Fund Mapping Regressions Applied to Segregated Funds Hedging Under Regime-Switching Dynamics
Risks, 2018 Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from the imperfect ...
Denis-Alexandre Trottier +2 more
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The Impact of Management Fees on the Pricing of Variable Annuity Guarantees
Risks, 2018 Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder’s retirement fund with optional guarantees to limit the downside risk of the market.
Jin Sun +2 more
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Dependence Modeling, 2016 Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large ...
Gan Guojun, Valdez Emiliano A.
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ARE VARIABLE ANNUITIES THE ANSWER TO INFLATION? [PDF]
The Journal of Finance, 1956 THE MAJOR REASON for interest in variable annuities stems from the possibility that they would provide one answer to the problem of hedging against price inflation. Two questions are, of course, involved. Would these, in fact, provide a reasonably adequate hedge against inflation?
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Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Cogent Economics & Finance, 2017 Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the ...
Mussa Juma +3 more
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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES [PDF]
Mathematical Finance, 2007 We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, with withdrawals spread over the term of the contract, irrespective of the market performance of the underlying asset portfolio. A contractual withdrawal rate is set
Dai, Min, Kwok, Yue Kuen, Zong, Jianping
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Defossilisation of the Energy Supply of a Chemical Site by Integration of a Carnot Battery
Chemie Ingenieur Technik, EarlyView.This study presents the results of a techno‐economic analysis of CO2‐free energy supply concepts for electricity and heat for the defossilisation of a chemical park in Germany for the model years 2030 and 2045. The focus is on the integration of a Carnot battery with thermal energy storage, which enables the flexible use of green fuels and renewable ...
Martin Bolten +6 more
wiley +1 more source
The Impact of Economic Growth on Insurance (Growth)
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper investigates the impact of economic growth on insurance (growth), focusing on the outflow side of the insurance activity, as captured by benefits (including commissions and expenses). The findings provide evidence that economic growth does exert a positive, statistically significant impact on the benefit side of insurance (growth ...
Nicholas Apergis +2 more
wiley +1 more source
Household Demand for Variable Annuities [PDF]
SSRN Electronic Journal, 2004 Between 1990 and 2000, total sales of variable annuities in the U.S. grew from just over $5 billion to nearly $140 billion. These products now account for approximately half of all private market annuity sales. Variable annuities resemble mutual funds, but they qualify for special tax treatment as insurance products because they provide an option to ...
Jeffrey R. Brown, James M. Poterba
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