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Lapse‐and‐Reentry in Variable Annuities
Journal of Risk and Insurance, 2016AbstractSection 1035 of the current U.S. tax code allows policyholders to exchange their variable annuity policy for a similar product while maintaining tax‐deferred status. When the variable annuity contains a long‐term guarantee, this “lapse‐and‐reentry” strategy allows the policyholder to potentially increase the value of the embedded guarantee.
Thorsten Moenig, Nan Zhu
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"Valuing Variable Annuities" (in Japanese) [PDF]
, 2003 In this paper we propose a framework to evaluate variable annuities. We show that the invested capital to a variable annuity can be decomposed into: (i) the reserve money in the account, (ii) options, (iii) fees paid to the mutual fund companies, and (iv) margin accruing to the insurance company.
Takao Kobayashi +2 more
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Variable annuity pricing, valuation, and risk management: a survey
Scandinavian Actuarial Journal, 2022Runhuan Feng, Guojun Gan
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Interplay of Risks in Variable Annuity
A guaranteed variable annuity provides a guaranteed benefit to the investor, no matter what the performance of the investment account is. Although the pricing formula and hedging strategy of the guaranteed variable annuity are well-studied in the literature, the intrinsic risk transfer and diversification mechanisms between policyholder and insurer hadGuoZhen LI, ShaoTang WANG
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Why do we postpone annuity purchases?
Journal of Mathematical Economics, 2021Hippolyte D’Albis, Andrei Kalk
exaly
A Managed Volatility Investment Strategy for Pooled Annuity Products
Risks, 2022Michael Sherris +2 more
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The Impact of Enterprise Annuity on Stock Price Crash Risk
Emerging Markets Finance and Trade, 2023Huan Dou
exaly